Shift-Contagion in Middle East and North Africa Stock Markets

Wajih Khallouli ()

No 420, Working Papers from Economic Research Forum

Abstract: This paper is an empirical study that seeks to determine whether any of the Middle East and North Africa (MENA) stock markets were vulnerable to financial contagion in the wake of the 2001 Turkish crisis. In line with Ayadi et al. (2006), we use a new procedure which consists of testing the non-linearity of the mechanisms spreading shocks, estimated with a model of long-term interdependence. Our results provide evidence of high level of interdependence between MENA stock markets. However, we find that, with the exemption of the contamination of Israel’s stock market, there is no evidence of shift-contagion in the transmission of financial shocks across MENA stock markets.

Pages: 16
Date: 2008-01-06, Revised 2008-01-06
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published by The Economic Research Forum (ERF)

Downloads: (external link)
http://erf.org.eg/wp-content/uploads/2016/04/420.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://erf.org.eg/wp-content/uploads/2016/04/420.pdf [301 Moved Permanently]--> https://erf.org.eg/wp-content/uploads/2016/04/420.pdf)
http://bit.ly/2oPksV1

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:erg:wpaper:420

Access Statistics for this paper

More papers in Working Papers from Economic Research Forum Contact information at EDIRC.
Bibliographic data for series maintained by Namees Nabeel ().