Journal
EMERGING MARKETS REVIEW
Volume 27, Issue -, Pages 14-35Publisher
ELSEVIER
DOI: 10.1016/j.ememar.2016.03.002
Keywords
Financial crises; Contagion vulnerability; MENA region
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Funding
- Institute of Financial Economics at the American University of Beirut [2014-05]
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This paper examines contagion vulnerability and the international and regional financial linkages of the MENA stock markets. The degree of vulnerability of those markets to global and regional financial crises will have important bearings on the respective economies' growth rate, and on their ability to diversify international and regional portfolios. Granger causality,tests and impulse response functions reveal that while the GCC equity markets still offer international investors portfolio diversification potentials, those markets are relatively less vulnerable to global and. regional financial crises. Moreover, even though the remaining MENA stock markets of Egypt, Morocco, and Tunisia have matured and are now financially integrated with the world stock markets, they tend to exhibit more vulnerability to regional and international financial crises. Their vulnerability to international financial crises is due, on the one hand, to weak regional integration, and to greater economic and financial integration with the more advanced economies on the other. (C) 2016 Elsevier B.V. All rights reserved.
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