Spillover Effect in the MENA Area: Case of Four Financial Markets

Marwane El Alaoui and Saâd Benbachir

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper, we studied the spillover effect among four financial markets from MENA area during a period that was characterized by political instability. The countries chosen are also signatories of an agreement of free trade in order to liberalize the movement flowing of their capitals. As the linear correlation is unable to capture nonlinear relation between variables, it also suffers from many shortcomings. Reason why, we used copula functions to understand better the dependence structure between markets and to be able to detect spillover effect in that period. The results show that Egyptian Exchange and Casablanca Stock Exchange are highly correlated. We observed the same thing between Amman Stock Exchange and Egyptian Exchange. It seems that Egyptian market transmitted its volatility to the Moroccan and Jordanian markets.

Keywords: Spillover effect; Copulas; Contagion; Interdependence (search for similar items in EconPapers)
JEL-codes: C19 G1 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in International Research Journal of Finance and Economics 103 (2013): pp. 162-177

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/48682/1/MPRA_paper_48682.pdf original version (application/pdf)

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:pra:mprapa:48682

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().