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A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

Author

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  • Slah Bahloul
  • Nawel Ben Amor

Abstract

Purpose - This paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration. Design/methodology/approach - The authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market. Findings - The results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial. Originality/value - This paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

Suggested Citation

  • Slah Bahloul & Nawel Ben Amor, 2021. "A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 17(10), pages 2763-2786, March.
    • Handle: RePEc:eme:ijoemp:ijoem-03-2020-0251
    DOI: 10.1108/IJOEM-03-2020-0251
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    Citations

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    Cited by:

    1. Faik Bilgili & Emrah Koçak & Sevda Kuşkaya, 2023. "Dynamics and Co-movements Between the COVID-19 Outbreak and the Stock Market in Latin American Countries: An Evaluation Based on the Wavelet-Partial Wavelet Coherence Model," Evaluation Review, , vol. 47(4), pages 630-652, August.
    2. Sarit Maitra, 2023. "Impact of Economic Uncertainty, Geopolitical Risk, Pandemic, Financial & Macroeconomic Factors on Crude Oil Returns -- An Empirical Investigation," Papers 2310.01123, arXiv.org, revised Oct 2023.

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