IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v51y2015i6p1163-1174.html
   My bibliography  Save this article

Intraindustry Volatility Spillovers in the MENA Region

Author

Listed:
  • Serda Selin Öztürk
  • Engin Volkan

Abstract

The 2007 global financial crisis had repercussions not only in mature capital markets but also in emerging markets, including that of the Middle East and North Africa (MENA) region. An accurate characterization of volatility spillover in the MENA region will have direct implications for financial hedging, portfolio management, and asset allocation, and, most important, in designing policies to mitigate the effects of possible contagion. In this article, we examine inter-MENA and from-the-world-to-MENA return volatility spillovers, at both the market and sectoral levels, for the period January 2008–December 2012.

Suggested Citation

  • Serda Selin Öztürk & Engin Volkan, 2015. "Intraindustry Volatility Spillovers in the MENA Region," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(6), pages 1163-1174, November.
    • Handle: RePEc:mes:emfitr:v:51:y:2015:i:6:p:1163-1174
    DOI: 10.1080/1540496X.2015.1080514
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2015.1080514
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1540496X.2015.1080514?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Roman Liesenfeld & Jean-Francois Richard, 2006. "Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 335-360.
    2. King, Mervyn A & Wadhwani, Sushil, 1990. "Transmission of Volatility between Stock Markets," The Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 5-33.
    3. Francis X. Diebold & Kamil Yilmaz, 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, January.
    4. Doseong Kim & Yoon-Goo Lee & Isabel Ruiz, 2010. "Common Volatility: An Empirical Investigation of Closed-End Country Funds," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 46(2), pages 116-132, March.
    5. Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990. "Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 58(3), pages 525-542, May.
    6. Neaime, Simon, 2012. "The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets," Emerging Markets Review, Elsevier, vol. 13(3), pages 268-282.
    7. Kaminsky, Graciela L. & Reinhart, Carmen M., 2000. "On crises, contagion, and confusion," Journal of International Economics, Elsevier, vol. 51(1), pages 145-168, June.
    8. Yilmaz, Kamil, 2010. "Return and volatility spillovers among the East Asian equity markets," Journal of Asian Economics, Elsevier, vol. 21(3), pages 304-313, June.
    9. Hammoudeh, Shawkat M. & Yuan, Yuan & McAleer, Michael, 2009. "Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 829-842, August.
    10. Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 3-26, February.
    11. Marcello Pericoli & Massimo Sbracia, 2003. "A Primer on Financial Contagion," Journal of Economic Surveys, Wiley Blackwell, vol. 17(4), pages 571-608, September.
    12. Mohamed Abdelaziz Eissa & Georgios Chortareas & Andrea Cipollini, 2010. "Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 9(3), pages 257-284, December.
    13. Liesenfeld, Roman & Richard, Jean-Francois, 2003. "Univariate and multivariate stochastic volatility models: estimation and diagnostics," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 505-531, September.
    14. Graciela L. Kaminsky & Carmen M. Reinhart & Carlos A. Végh, 2003. "The Unholy Trinity of Financial Contagion," Journal of Economic Perspectives, American Economic Association, vol. 17(4), pages 51-74, Fall.
    15. Fratzscher, Marcel, 2002. "Financial Market Integration in Europe: On the Effects of EMU on Stock Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(3), pages 165-193, July.
    16. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," The Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
    17. Ng, Angela, 2000. "Volatility spillover effects from Japan and the US to the Pacific-Basin," Journal of International Money and Finance, Elsevier, vol. 19(2), pages 207-233, April.
    18. Sebastian Edwards, 1998. "Interest Rate Volatility, Capital Controls, and Contagion," NBER Working Papers 6756, National Bureau of Economic Research, Inc.
    19. Griffin, John M. & Andrew Karolyi, G., 1998. "Another look at the role of the industrial structure of markets for international diversification strategies," Journal of Financial Economics, Elsevier, vol. 50(3), pages 351-373, December.
    20. M. Shabri Abd. Majid & Ahamed Kameel Mydin Meera & Mohd. Azmi Omar, 2008. "Interdependence of ASEAN-5 Stock Markets from the US and Japan," Global Economic Review, Taylor & Francis Journals, vol. 37(2), pages 201-225.
    21. repec:bla:intfin:v:6:y:2003:i:2:p:179-99 is not listed on IDEAS
    22. Yu, Jung-Suk & Hassan, M. Kabir, 2008. "Global and regional integration of the Middle East and North African (MENA) stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 482-504, August.
    23. Angelos Kanas, 1998. "Volatility spillovers across equity markets: European evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 8(3), pages 245-256.
    24. Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi, 2008. "A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets," Econometrics Working Papers Archive wp2008_09, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    25. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(2), pages 241-256, June.
    26. Hammoudeh, Shawkat & Li, Huimin, 2008. "Sudden changes in volatility in emerging markets: The case of Gulf Arab stock markets," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 47-63.
    27. Richard, Jean-Francois & Zhang, Wei, 2007. "Efficient high-dimensional importance sampling," Journal of Econometrics, Elsevier, vol. 141(2), pages 1385-1411, December.
    28. G. Andrew Karolyi, 2003. "Does International Financial Contagion Really Exist?," International Finance, Wiley Blackwell, vol. 6(2), pages 179-199, July.
    29. Albert S. Kyle & Wei Xiong, 2001. "Contagion as a Wealth Effect," Journal of Finance, American Finance Association, vol. 56(4), pages 1401-1440, August.
    30. Heston, Steven L. & Rouwenhorst, K. Geert, 1994. "Does industrial structure explain the benefits of international diversification?," Journal of Financial Economics, Elsevier, vol. 36(1), pages 3-27, August.
    31. Zhou, Xiangyi & Zhang, Weijin & Zhang, Jie, 2012. "Volatility spillovers between the Chinese and world equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 247-270.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Belasen, Ariel R. & Kutan, Ali M. & Belasen, Alan T., 2017. "The impact of unsuccessful pirate attacks on financial markets: Evidence in support of Leeson's reputation-building theory," Economic Modelling, Elsevier, vol. 60(C), pages 344-351.
    2. Rehman, Mobeen Ur & Ahmad, Nasir & Shahzad, Syed Jawad Hussain & Vo, Xuan Vinh, 2022. "Dependence dynamics of stock markets during COVID-19," Emerging Markets Review, Elsevier, vol. 51(PB).
    3. Lumengo Bonga-Bonga & Maphelane Palesa Phume, 2022. "Return and volatility spillovers between South African and Nigerian equity markets," African Journal of Economic and Management Studies, Emerald Group Publishing Limited, vol. 13(2), pages 205-218, January.
    4. Hafiza Muntaha Khalid & Sadia Farooq & Faiza Liaqat & Muhammad Naeem, 2021. "Assessment of return and volatility spillover across sectors' indices: evidence from Pakistan stock exchange," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 14(5), pages 477-496.
    5. Balcilar, Mehmet & Kutan, Ali M. & Yaya, Mehmet E., 2017. "Financial integration in small Islands: The case of Cyprus," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 201-219.
    6. Chung Baek, 2020. "Risk Transmissions between Major Foreign Currencies: An Empirical Analysis from the U.S. Perspective," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 19(2), pages 151-168, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2013. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," Review of International Economics, Wiley Blackwell, vol. 21(5), pages 1060-1075, November.
    2. Mobeen Ur Rehman, 2016. "Financial Contagion in EFA Markets in Crisis Periods: A Multivariate GARCH Dynamic Conditional Correlation Framework," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 21(2), pages 121-151, July-Dec.
    3. Ziadat, Salem Adel & Herbst, Patrick & McMillan, David G., 2020. "Inter- and intra-regional stock market relations for the GCC bloc," Research in International Business and Finance, Elsevier, vol. 54(C).
    4. Alotaibi, Abdullah R. & Mishra, Anil V., 2015. "Global and regional volatility spillovers to GCC stock markets," Economic Modelling, Elsevier, vol. 45(C), pages 38-49.
    5. Sandoval Paucar, Giovanny, 2018. "Efectos de desbordamiento sobre los mercados financieros de Colombia. Identificación a través de la heterocedasticidad [Spillovers effects on financial markets of Colombia. Identification through h," MPRA Paper 90422, University Library of Munich, Germany.
    6. Iwanicz-Drozdowska, Małgorzata & Rogowicz, Karol & Kurowski, Łukasz & Smaga, Paweł, 2021. "Two decades of contagion effect on stock markets: Which events are more contagious?," Journal of Financial Stability, Elsevier, vol. 55(C).
    7. Claudeci Da Silva & Hugo Agudelo Murillo & Joaquim Miguel Couto, 2014. "Early Warning Systems: Análise De Ummodelo Probit De Contágio De Crise Dos Estados Unidos Para O Brasil(2000-2010)," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 110, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    8. Kee-Hong Bae & G. Andrew Karolyi & René M. Stulz, 2003. "A New Approach to Measuring Financial Contagion," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 717-763, July.
    9. Arnaud Mehl, 2013. "Large global volatility shocks, equity markets and globalisation: 1885-2011," Globalization Institute Working Papers 148, Federal Reserve Bank of Dallas.
    10. Cai, Charlie X. & Mobarek, Asma & Zhang, Qi, 2017. "International stock market leadership and its determinants," Journal of Financial Stability, Elsevier, vol. 33(C), pages 150-162.
    11. Mehmet Balcilar & Rangan Gupta & Duc Khuong Nguyen & Mark E. Wohar, 2018. "Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach," Applied Economics, Taylor & Francis Journals, vol. 50(53), pages 5712-5727, November.
    12. Constantinos Katrakilidis & Athanasios Koulakiotis, 2006. "The Impact of Stock Exchange Rules on Volatility and Error Transmission -- The Case of Frankfurt and Zurich Cross-Listed Equities," Annals of Economics and Finance, Society for AEF, vol. 7(2), pages 321-338, November.
    13. Yarovaya, Larisa & Brzeszczyński, Janusz & Goodell, John W. & Lucey, Brian & Lau, Chi Keung Marco, 2022. "Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    14. Awartani, Basel & Maghyereh, Aktham I. & Shiab, Mohammad Al, 2013. "Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 224-242.
    15. Zheng, Tingguo & Zuo, Haomiao, 2013. "Reexamining the time-varying volatility spillover effects: A Markov switching causality approach," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 643-662.
    16. Woon Sau Leung & Nicholas Taylor, 2013. "Testing for contagion: the impact of US structured markets on international financial markets," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 11, pages 256-284, Edward Elgar Publishing.
    17. Sewraj, Deeya & Gebka, Bartosz & Anderson, Robert D.J., 2018. "Identifying contagion: A unifying approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 224-240.
    18. Bubák, Vít & Kocenda, Evzen & Zikes, Filip, 2011. "Volatility transmission in emerging European foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2829-2841, November.
    19. Balli, Faruk & Hajhoj, Hassan Rafdan & Basher, Syed Abul & Ghassan, Hassan Belkacem, 2015. "An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 311-325.
    20. Roy, Rudra Prosad & Sinha Roy, Saikat, 2017. "Financial contagion and volatility spillover: An exploration into Indian commodity derivative market," Economic Modelling, Elsevier, vol. 67(C), pages 368-380.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:51:y:2015:i:6:p:1163-1174. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.