Financial crises and contagion vulnerability of MENA stock markets |
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| Institution: | 1. Faculty of Management, IBS Hyderabad, IFHE University, Dontanpalli, Hyderabad Pin-501203, India;2. Finance Department, West University of Timisoara, Bl. V. Parvan, 4, 300223 Timisoara, Romania;3. LEO, University of Orléans, Rue de Blois, 45067 Orléans, France;4. Management Department, Politehnica University of Timisoara, P-ta. Victoriei, 2, 300006 Timisoara, Romania;1. Department of Economics, National and Kapodistrian University of Athens, 1 Sofokleous Street, Athens 10559, Greece;2. College of Economics and Administrative Sciences, Al Imam Muhammed Ibn Saud Islamic University (IMSIU), Riyadh, Saudi Arabia;1. Brunel University Business School, Brunel University, Middlesex UB3 3PH, United Kingdom.;2. Aston University Aston Triangle, Birmingham B4 7ET, United Kingdom |
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| Abstract: | This paper examines contagion vulnerability and the international and regional financial linkages of the MENA stock markets. The degree of vulnerability of those markets to global and regional financial crises will have important bearings on the respective economies' growth rate, and on their ability to diversify international and regional portfolios. Granger causality tests and impulse response functions reveal that while the GCC equity markets still offer international investors portfolio diversification potentials, those markets are relatively less vulnerable to global and regional financial crises. Moreover, even though the remaining MENA stock markets of Egypt, Morocco, and Tunisia have matured and are now financially integrated with the world stock markets, they tend to exhibit more vulnerability to regional and international financial crises. Their vulnerability to international financial crises is due, on the one hand, to weak regional integration, and to greater economic and financial integration with the more advanced economies on the other. |
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