Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region

Mohamed Abdelaziz Eissa, Georgios Chortareas and Andrea Cipollini
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Mohamed Abdelaziz Eissa: Mohamed Abdelaziz Eissa, Royal Dock Business School, University of East London, University Way, London, E16 2RD. E-mail: m.m.eissa@uel.ac.uk

Journal of Emerging Market Finance, 2010, vol. 9, issue 3, 257-284

Abstract: In this article, we examine the presence of volatility spillovers between nominal exchange rates and stock returns in three MENA countries: Egypt, Morocco and Turkey. The multivariate GARCH model we use does not produce evidence of cross-market effects for the general stock indices returns. Nevertheless, bidirectional shock and volatility spillovers between exchange rates and stock returns exist at the industry sector level. These findings are more pronounced in Egypt and Turkey. The different results are due to the different exchange rate regimes/policies adopted by the three countries. While exchange rates in Egypt and Turkey were allowed to float, Morocco followed a more tightly managed exchange rate regime.

Keywords: JEL Classification: C22; JEL Classification: F31; JEL Classification: G12; JEL Classification: G15; Stock returns; exchange rates; volatility spillovers; multivariate GARCH models; MENA region (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:9:y:2010:i:3:p:257-284

DOI: 10.1177/097265271000900301

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