Global and regional integration of the Middle East and North African (MENA) stock markets

被引：85

作者：

Yu, Jung-Suk ^{[1
]}

Hassan, M. Kabir ^{[1
]}

机构：

[1] Univ New Orleans, New Orleans, LA 70148 USA

来源：

QUARTERLY REVIEW OF ECONOMICS AND FINANCE | 2008年 / 48卷 / 03期

关键词：

Financial integration; MENA region; Impulse response function; EGARCH-M model; Multivariate AR-GARCH model;

D O I：

10.1016/j.qref.2006.06.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We investigate financial integration of MENA region to facilitate a more in-depth exploration of the structure of interdependence and transmission mechanism of stock returns and volatility between MENA and world stock markets. The EGARCH-M models with a generalized error distribution are employed to consider both leverage effect of negative shocks and leptokurtosis prevalent in the MENA stock markets. The estimation results of multivariate AR-GARCH models indicate that there are large and predominantly positive volatility spillovers and volatility persistence in conditional volatility between MENA and world stock markets. Own-volatility spillovers are generally higher than cross-volatility spillovers for all the markets. (C) 2006 The Board of Trustees of the University of Illinois. Published by Elsevier B.V. All rights reserved.

引用

页码：482 / 504

页数：23

共 31 条

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