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Financial Stress Dynamics in the MENA Region: Evidence from the Arab Spring

Elsayed, Ahmed H.; Yarovaya, Larisa

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Authors

Larisa Yarovaya



Abstract

In this paper we analyse the impact of instability caused by the Arab Spring on the co-movements and volatility spillovers of aggregated Financial Stress Indices for eight MENA countries. Using a dynamic frequency connectedness framework, we conclude that stress transmission between markets is higher at low frequencies than at high frequencies, which implies that MENA markets are slow in adjusting to the information they receive. The Global Financial Crisis generated stronger spillover effects between MENA markets than the political turmoil of the Arab Spring. These results are useful for investors with different investment horizons, and have policy implications for the maintenance of financial stability in this region.

Citation

Elsayed, A. H., & Yarovaya, L. (2019). Financial Stress Dynamics in the MENA Region: Evidence from the Arab Spring. Journal of International Financial Markets, Institutions and Money, 62, 20-34. https://doi.org/10.1016/j.intfin.2019.05.004

Journal Article Type Article
Acceptance Date May 18, 2019
Online Publication Date May 21, 2019
Publication Date Aug 30, 2019
Deposit Date May 21, 2019
Publicly Available Date May 21, 2020
Journal Journal of International Financial Markets, Institutions and Money
Print ISSN 1042-4431
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 62
Pages 20-34
DOI https://doi.org/10.1016/j.intfin.2019.05.004
Public URL https://durham-repository.worktribe.com/output/1296046

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