Intraindustry Volatility Spillovers in the MENA Region
Küçük Resim Yok
Tarih
2015
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Routledge Journals, Taylor & Francis Ltd
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
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.
Açıklama
Anahtar Kelimeler
Middle East And North Africa, Stock Market Returns, Volatility Spillovers, Industrial-Structure, Common Volatility, Dynamic Linkages, Stock Markets, United-States, Middle-East, Transmission, Returns, Integration, Contagion
Kaynak
Emerging Markets Finance and Trade
WoS Q Değeri
Q3
Scopus Q Değeri
Q1
Cilt
51
Sayı
6
