Testing for “Contagion” of the Subprime Crisis on the Middle East And North African Stock Markets: A Markov Switching EGARCH Approach

Wajih Khallouli () and Rene Sandretto
Additional contact information
Wajih Khallouli: ESSEC of Tunis (ESSECT)

No 609, Working Papers from Economic Research Forum

Abstract: In this paper, we investigate whether the recent financial turmoil which originated in the United States has contaminated the Middle East and North African countries (MENA). In contrast to Lagoard-Segot and Lucey (2009), we try to identify the existence of pure contagion (Masson 1999) rather than shift-contagion (Rigobon 2003). Then, we explicitly define financial “contagion” in accordance with Eichengreen et al. (1996) and we extend the Cerra and Saxena (2002) methodology by using a Markov-Switching EGARCH model introduced by Henry (2009) in order to identify contaminated MENA stock markets. Our results provide evidence of a persistent recession characterized by low mean/high variance regimes which coincides with the third phase of the subprime crisis. In addition, there is evidence of mean and volatility contagion in MENA stock markets caused by the US stock market.

Pages: 31
Date: 2011-01-08, Revised 2011-01-08
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/2014/08/609.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/2014/08/609.pdf [301 Moved Permanently]--> https://erf.org.eg/wp-content/uploads/2014/08/609.pdf)
http://bit.ly/2m5QHhG (text/html)

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:609

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 ().