Financial Contagion in Emerging Markets: Evidence from the Middle East and North Africa

Thomas Lagoarde-Segot and Brian M. Lucey ()

The Institute for International Integration Studies Discussion Paper Series from IIIS

Abstract: The purpose of this paper is to investigate vulnerability to financial contagion in a set of expanding emerging markets of the Middle East and North Africa, during seven episodes of international financial crisis. Using Fry & Baur (2005) fixed-effect panel approach, we significantly reject the hypothesis of a joint regional contagion. However, using a battery of bivariate contagion tests based on Forbes and Rigobon (2002), Corsetti (2002), and Favero and Giavazzi (2002), we find evidence that each of the investigated markets suffered from contagion at least once out of the seven investigated crises. In conformity with the literature, our results suggest that the probability of being affected by contagion seems to increase as the MENA markets develop in size and liquidity, and become more integrated to the world’s markets.

Keywords: Note:; Length: (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-afr, nep-cwa and nep-fmk
Date: 2006-04-05
View list of references

Downloads: (external link)
http://www.tcd.ie/iiis/documents/discussion/pdfs/iiisdp114.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:iis:dispap:iiisdp114

Access Statistics for this paper

More papers in The Institute for International Integration Studies Discussion Paper Series from IIIS
Address: 01
Contact information at EDIRC.
Series data maintained by Eva Mateo ().