Foreign shocks and international cost of equity destabilization. Evidence from the MENA region

Alexis Guyot (), Thomas Lagoarde-Segot and Simon Neaime
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Alexis Guyot: Audencia Recherche - Audencia Business School
Thomas Lagoarde-Segot: DEFI - Centre de recherche en développement économique et finance internationale - GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique, Euromed Marseille - École de management - Association Euromed Management - Marseille

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Abstract: This paper investigates whether foreign financial shocks can destabilize the cost of equity in emerging markets. After a theoretical discussion, we develop annual metrics for the international cost of equity, financial integration, spillovers and shift-contagion vulnerability in a sample of 535 Middle East and North African firms from Egypt, Tunisia, Morocco and Jordan over the 1998-2011 period. We then analyze the impact of foreign shocks on the international cost of equity, using a set of SGMM and PVAR models. Our results indicate that external shocks can increase the cost of equity in mature emerging markets.

Keywords: Financial crises; Development; MENA region (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (22)

Published in Emerging Markets Review, 2014, 18, pp.101-122. ⟨10.1016/j.ememar.2014.01.003⟩

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Journal Article: Foreign shocks and international cost of equity destabilization. Evidence from the MENA region (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00841198

DOI: 10.1016/j.ememar.2014.01.003

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