Spillover Effect in the MENA Area: Case of Four Financial Markets

El Alaoui, Marwane and Benbachir, Saâd (2012): Spillover Effect in the MENA Area: Case of Four Financial Markets. Published in: International Research Journal of Finance and Economics No. 103 (January 2013): pp. 162-177.

Abstract

In this paper, we studied the spillover effect among four financial markets from MENA area during a period that was characterized by political instability. The countries chosen are also signatories of an agreement of free trade in order to liberalize the movement flowing of their capitals. As the linear correlation is unable to capture nonlinear relation between variables, it also suffers from many shortcomings. Reason why, we used copula functions to understand better the dependence structure between markets and to be able to detect spillover effect in that period. The results show that Egyptian Exchange and Casablanca Stock Exchange are highly correlated. We observed the same thing between Amman Stock Exchange and Egyptian Exchange. It seems that Egyptian market transmitted its volatility to the Moroccan and Jordanian markets.

• Item Type: MPRA Paper
• Language: English
• Keywords: Spillover effect, Copulas, Contagion, Interdependence
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C19 - Other; G - Financial Economics > G1 - General Financial Markets

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