6533b855fe1ef96bd12b0887
RESEARCH PRODUCT
Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region
Andrea CipolliniMohamed Abdelaziz EissaGeorgios Chortareassubject
Economics and Econometricsvolatility spilloversFinancial economicsMultivariate GarchMonetary economicsExchange-rate regimeStock market indexexchange ratesMultivariate garch modelExchange rateStock returnsIndustry sectorExchange rate volatilityEconomicsStock returns; exchange rates; volatility spillovers; Multivariate Garch_Volatility (finance)FinanceStock (geology)description
In this article, we examine the presence of volatility spillovers between nominal exchange rates and stock returns in three MENA countries: Egypt, Morocco and Turkey. The multivariate GARCH model we use does not produce evidence of cross-market effects for the general stock indices returns. Nevertheless, bidirectional shock and volatility spillovers between exchange rates and stock returns exist at the industry sector level. These findings are more pronounced in Egypt and Turkey. The different results are due to the different exchange rate regimes/policies adopted by the three countries. While exchange rates in Egypt and Turkey were allowed to float, Morocco followed a more tightly managed exchange rate regime.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2010-12-01 |