TY - JOUR
T1 - Dynamic transmissions between the U.S. and equity markets in the MENA countries
T2 - New evidence from pre- and post-global financial crisis
AU - Maghyereh, Aktham I.
AU - Awartani, Basel
AU - Hilu, Khalil Al
N1 - Publisher Copyright:
© 2014 The Board of Trustees of the University of Illinois.
PY - 2015/5/1
Y1 - 2015/5/1
N2 - In this paper we investigate equity returns and volatility co-movement between the U.S. and a group of large Middle East and North African stock markets before and after the global financial crisis in 2008. Our empirical evidence suggests that the pre-crisis relation with the U.S. was weak and negligible, before it jumped to a high level after the crisis. The large diversification in the pre-crisis period was negatively influenced by higher transmissions after the crisis. However, it did not completely disappear during periods of stress. Moreover, there is some evidence that the association with the U.S. has started to revert to its initial low level and therefore, we may conclude that the Middle East and North African equities are important diversifiers for U.S. investors; particularly in the long run.
AB - In this paper we investigate equity returns and volatility co-movement between the U.S. and a group of large Middle East and North African stock markets before and after the global financial crisis in 2008. Our empirical evidence suggests that the pre-crisis relation with the U.S. was weak and negligible, before it jumped to a high level after the crisis. The large diversification in the pre-crisis period was negatively influenced by higher transmissions after the crisis. However, it did not completely disappear during periods of stress. Moreover, there is some evidence that the association with the U.S. has started to revert to its initial low level and therefore, we may conclude that the Middle East and North African equities are important diversifiers for U.S. investors; particularly in the long run.
KW - Dynamic correlations
KW - MENA markets
KW - Volatility spillovers
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U2 - 10.1016/j.qref.2014.08.005
DO - 10.1016/j.qref.2014.08.005
M3 - Article
AN - SCOPUS:84928672812
SN - 1062-9769
VL - 56
SP - 123
EP - 138
JO - Quarterly Review of Economics and Finance
JF - Quarterly Review of Economics and Finance
ER -