Intraindustry Volatility Spillovers in the MENA Region

Serda Selin Öztürk and Engin Volkan

Emerging Markets Finance and Trade, 2015, vol. 51, issue 6, 1163-1174

Abstract: The 2007 global financial crisis had repercussions not only in mature capital markets but also in emerging markets, including that of the Middle East and North Africa (MENA) region. An accurate characterization of volatility spillover in the MENA region will have direct implications for financial hedging, portfolio management, and asset allocation, and, most important, in designing policies to mitigate the effects of possible contagion. In this article, we examine inter-MENA and from-the-world-to-MENA return volatility spillovers, at both the market and sectoral levels, for the period January 2008–December 2012.

Date: 2015
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DOI: 10.1080/1540496X.2015.1080514

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