Volatility Spillovers and Comovements between MENA Markets during Political Turbulent Times

Besma Hkiri, Azza Bejaoui and Sondes BEN Salem

Chapter 5 in Handbook of Global Financial Markets:Transformations, Dependence, and Risk Spillovers, 2019, pp 105-148 from World Scientific Publishing Co. Pte. Ltd.

Abstract: This chapter explores the relationship between MENA indices during political crisis periods. In other words, we attempt to analyze the comovements and the volatility spillovers during the onset of dramatic country-specific events. For this end, we use daily data of 11 selected indices over the period spanning from March 18, 2005 to March 18, 2016. Methodologically, we assess the extent of volatility transmission among MENA markets indices using the generalized vector autoregressive framework proposed by Diebold and Yilamaz (2012). For the comovements among MENA indices, the wavelet coherence analysis tools and the overlap wavelet cross-correlation approach are proposed. Some interesting findings emerged from this analysis. First, our results reveal moderate comovement behavior between the selected MENA indices at different frequency bands and over time. This result indicates that the emerging markets are more feigned by local political and economic crisis rather than international political unrests. Second, the comovement behavior is more pronounced during the financial turmoil and the direction of volatility transmission seems to be affected by political events.

Keywords: Market Integration; Risk Management; Risk Assessment; Financial Uncertainty; Volatility; Financial Markets; Financial Development; Country Risks; Sovereign Debt Markets (search for similar items in EconPapers)
JEL-codes: F37 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789813236653_0005 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789813236653_0005 (text/html)
Ebook Access is available upon purchase.

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: https://EconPapers.repec.org/RePEc:wsi:wschap:9789813236653_0005

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().