Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis

Aktham I. Maghyereh, Basel Awartani, Khalil Al Hilu

    Research output: Contribution to journalArticlepeer-review

    49 Citations (Scopus)

    Abstract

    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.

    Original languageEnglish
    Pages (from-to)123-138
    Number of pages16
    JournalQuarterly Review of Economics and Finance
    Volume56
    DOIs
    Publication statusPublished - May 1 2015

    Keywords

    • Dynamic correlations
    • MENA markets
    • Volatility spillovers

    ASJC Scopus subject areas

    • Finance
    • Economics and Econometrics

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