文章基本信息

标题：Virtual Spider Threads Interconnecting Globally: From ‘Soft Power’ to MENA Stock Market Volatility
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作者：Najeb Masoud ; Suleiman AbuSabha
期刊名称：Journal of Economics and Sustainable Development
印刷版ISSN：2222-2855
电子版ISSN：2222-2855
出版年度：2014
卷号：5
期号：8
页码：105-115
语种：English
出版社：The International Institute for Science, Technology and Education (IISTE)
摘要：This study investigates the dynamic of the volatilities and the conditional correlations between the 4 world-stock market of London, France, Frankfort, US and 8 Middle East and North African (MENA) stock markets from Amman, Bahrain, Egypt, Morocco, Muscat, UAE, Saudi Arabia, and Tunis. Using the GARCH, TGARCH models that account for asynchronous data, conditional heteroscedastic, asymmetric volatility responses, and the joint dynamics of each country’s index with the world-market returns. Our results show that shocks originating in world-market conflicts and the associated uncertainty have increased the volatility of MENA equity markets. Secondly, regardless of its impact on volatility spillover transmission, there is little evidence to suggest that MENA markets have become more integrated with world-markets after financial crisis. Finally, these results are robust to model specification and consistent with the notion that uncertainty contributes to financial volatility spillover. It is worth mentioning that the findings from this paper will have a significant implication for investors, managers, market regulators, decision-makers, and scholars interested in the equity markets of MENA region in particular, and other developing nations in general.
关键词：GARCH; TGARCH; Conditional correlations; Stock market volatility spillover; World equity market; MENA equity markets.