On the Dynamic Transmission of Mean and Volatility across the Arab Stock Markets

Elie Bouri () and Georges Azzi
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Georges Azzi: Georges Azzi, Associate Professor, USEK School of Business, Holy Spirit University of Kaslik, Lebanon. E-mail: georgesazzi@usek.edu.lb

Journal of Emerging Market Finance, 2014, vol. 13, issue 3, 279-304

Abstract: This article applies a multivariate model to uncover the dynamic mean and volatility interdependence across the markets of Morocco, Tunisia, Egypt, Lebanon, Jordan, Kuwait, Bahrain, Qatar, United Arabic Emirates (UAE), Saudi Arabia and Oman from June 2005 to January 2012. Results show that the Arab Middle East and North African equity markets are interconnected by their volatilities and not by their returns, which makes risk reduction possible. Volatility persistence and innovations in one market enclose figures that are valuable to investors and risk managers seeking to predict volatility in other markets. Surprisingly, we find evidence of significant volatility spillover from small to larger markets. JEL Classification: G1, G15, G17, C22, C32

Keywords: Equity returns; MENA; multivariate GARCH; mean spillover; volatility spillover; conditional correlations (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:13:y:2014:i:3:p:279-304

DOI: 10.1177/0972652714552041

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