Elsayed, Ahmed H. and Yarovaya, Larisa (2019) 'Financial stress dynamics in the MENA region : evidence from the Arab Spring.', Journal of international financial markets, institutions and money., 62 . pp. 20-34.
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.
| Item Type: | Article |
|---|---|
| Full text: | (AM) Accepted Manuscript Available under License - Creative Commons Attribution Non-commercial No Derivatives. Download PDF (1149Kb) |
| Status: | Peer-reviewed |
| Publisher Web site: | https://doi.org/10.1016/j.intfin.2019.05.004 |
| Publisher statement: | © 2019 This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ |
| Date accepted: | 18 May 2019 |
| Date deposited: | 21 May 2019 |
| Date of first online publication: | 21 May 2019 |
| Date first made open access: | 21 May 2020 |
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