Financial stress dynamics in the MENA region: Evidence from the Arab Spring

Ahmed H. Elsayed; Larisa Yarovaya

doi:10.1016/j.intfin.2019.05.004

Financial stress dynamics in the MENA region: Evidence from the Arab Spring

Ahmed H. Elsayed, Larisa Yarovaya

Research output: Contribution to journal › Article › peer-review

57 Citations (Scopus)

Abstract

In this paper we analyse the impact of instability caused by the Arab Spring on the co-movements and volatility spillovers of aggregated Financial Stress Indices for eight MENA countries. Using a dynamic frequency connectedness framework, we conclude that stress transmission between markets is higher at low frequencies than at high frequencies, which implies that MENA markets are slow in adjusting to the information they receive. The Global Financial Crisis generated stronger spillover effects between MENA markets than the political turmoil of the Arab Spring. These results are useful for investors with different investment horizons, and have policy implications for the maintenance of financial stability in this region.

Original language	English
Pages (from-to)	20-34
Number of pages	15
Journal	Journal of International Financial Markets, Institutions and Money
Volume	62
DOIs	https://doi.org/10.1016/j.intfin.2019.05.004
Publication status	Published - Sept 2019
Externally published	Yes

Keywords

Dynamic frequency connectedness
Financial stress indexes
Impact of Arab Spring
MENA economies
Spillover effect

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.intfin.2019.05.004

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title = "Financial stress dynamics in the MENA region: Evidence from the Arab Spring",

abstract = "In this paper we analyse the impact of instability caused by the Arab Spring on the co-movements and volatility spillovers of aggregated Financial Stress Indices for eight MENA countries. Using a dynamic frequency connectedness framework, we conclude that stress transmission between markets is higher at low frequencies than at high frequencies, which implies that MENA markets are slow in adjusting to the information they receive. The Global Financial Crisis generated stronger spillover effects between MENA markets than the political turmoil of the Arab Spring. These results are useful for investors with different investment horizons, and have policy implications for the maintenance of financial stability in this region.",

keywords = "Dynamic frequency connectedness, Financial stress indexes, Impact of Arab Spring, MENA economies, Spillover effect",

author = "Elsayed, {Ahmed H.} and Larisa Yarovaya",

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AU - Elsayed, Ahmed H.

AU - Yarovaya, Larisa

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Y1 - 2019/9

N2 - In this paper we analyse the impact of instability caused by the Arab Spring on the co-movements and volatility spillovers of aggregated Financial Stress Indices for eight MENA countries. Using a dynamic frequency connectedness framework, we conclude that stress transmission between markets is higher at low frequencies than at high frequencies, which implies that MENA markets are slow in adjusting to the information they receive. The Global Financial Crisis generated stronger spillover effects between MENA markets than the political turmoil of the Arab Spring. These results are useful for investors with different investment horizons, and have policy implications for the maintenance of financial stability in this region.

AB - In this paper we analyse the impact of instability caused by the Arab Spring on the co-movements and volatility spillovers of aggregated Financial Stress Indices for eight MENA countries. Using a dynamic frequency connectedness framework, we conclude that stress transmission between markets is higher at low frequencies than at high frequencies, which implies that MENA markets are slow in adjusting to the information they receive. The Global Financial Crisis generated stronger spillover effects between MENA markets than the political turmoil of the Arab Spring. These results are useful for investors with different investment horizons, and have policy implications for the maintenance of financial stability in this region.

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KW - MENA economies

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Financial stress dynamics in the MENA region: Evidence from the Arab Spring

Abstract

Keywords

ASJC Scopus subject areas

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