Foreign shocks and international cost of equity destabilization. Evidence from the MENA region

Alexis Guyot, Thomas Lagoarde-Segot and Simon Neaime

Emerging Markets Review, 2014, vol. 18, issue C, 101-122

Abstract: This paper investigates whether foreign financial shocks can destabilize the cost of equity in emerging markets. After a theoretical discussion, we develop annual metrics for the international cost of equity, financial integration, spillovers and shift-contagion vulnerability in a sample of 535 Middle East and North African firms from Egypt, Tunisia, Morocco and Jordan over the 1998–2011 period. We then analyze the impact of foreign shocks on the international cost of equity, using a set of SGMM and PVAR models. Our results indicate that external shocks can increase the cost of equity in mature emerging markets.

Keywords: Financial crises; Development; MENA region (search for similar items in EconPapers)
JEL-codes: C32 F32 F36 G15 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

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Working Paper: Foreign shocks and international cost of equity destabilization. Evidence from the MENA region (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:18:y:2014:i:c:p:101-122

DOI: 10.1016/j.ememar.2014.01.003

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