The regional pricing of risk: An empirical investigation of the MENA Region
Khaled Khaled (),
Amel Belanes () and
Akassi Kablan ()
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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
Economics Bulletin, 2018, vol. 38, issue 2, 751-760
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)
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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-17-00990
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