Return and volatility spillovers across the Western and MENA countries

被引:10
作者
Habibi, Hamidreza [1 ]
Mohammadi, Hassan [2 ]
机构
[1] Univ Calif Santa Cruz, Dept Econ, Santa Cruz, CA 95060 USA
[2] Illinois State Univ, Dept Econ, Normal, IL 61790 USA
关键词
Financial contagion; Return spillovers; Volatility spillovers; IMPULSE-RESPONSE ANALYSIS; GLOBAL FINANCIAL CRISIS; EQUITY MARKETS; CONNECTEDNESS; LINKAGES;
D O I
10.1016/j.najef.2022.101642
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We use weekly data on returns and range-based volatility over 2005-2017 to examine the degree of interconnectedness in financial markets of eleven MENA and four Western economies using the methodology proposed by Diebold and Yilmaz (2009, 2012, 2014). Our findings suggest (a) similar patterns of dynamic spillovers in both returns and in volatility. Both return and volatility spillover indices experienced significant bursts from 2008 to 2011 coinciding with the U.S. financial crisis. (b) Financial markets of Israel, Saudi Arabia and the UAE are more closely integrated with Westerns markets and may serve as primary channels for transmission of Western shocks to the region. Also, shocks to these three markets have noticeable impacts on other MENA markets. (c) Shocks to the U.S. financial markets play a critical role in return and volatility of MENA markets. (d) These findings are robust to alterations in window size and forecast horizon.
引用
收藏
页数:10
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