Economics at your fingertips  

The regional pricing of risk: An empirical investigation of the MENA Region

Khaled Khaled (), Amel Belanes () and Akassi Kablan ()
Additional contact information
Khaled Khaled: Environment, Climate Change and Energy Transition Chair - IPAG Business School Paris
Amel Belanes: University of Jeddah, Saudi Arabia and ESSEC High Institute of Management, University of Tunis and

Authors registered in the RePEc Author Service: Khaled Guesmi

Economics Bulletin, 2018, vol. 38, issue 2, 751-760

Abstract: Using a sample of five-MENA emerging countries (Egypt, Tunisia, Morocco, Jordan, and Turkey) during the period 1996-2013, this study highlights the main factors that might influence regional integration of stock markets. We propose an advantageous econometric approach based on a conditional version of the International Capital Asset Pricing Model (ICAPM) to explore major sources of time-varying risks. We specifically apply the multivariate BEKK-GARCH process to simultaneously estimate the ICAPM for each country. The study puts in evidence that inflation, volatility of exchange rates, yield spread, current account deficit, dividend yield and economic growth are among the key determinants of regional integration in the MENA context whatever is the measure of exchange rate risk.

Keywords: Multivariate GARCH; regional integration; ICAPM (search for similar items in EconPapers)
JEL-codes: F1 C1 (search for similar items in EconPapers)
Date: 2018-04-15
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (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:

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().

Page updated 2021-03-31
Handle: RePEc:ebl:ecbull:eb-17-00990