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Financial stress dynamics in the MENA region: evidence from the ArabSpring

Financial stress dynamics in the MENA region: evidence from the ArabSpring
Financial stress dynamics in the MENA region: evidence from the ArabSpring
In this paperwe analyse the impact of instability caused by the Arab Spring on the co-movements and volatility spillovers of aggregated Financial Stress Indices for eight MENA countries. Using a dynamic frequency connectedness framework,we conclude that stress transmission between markets is higher at low frequencies than at high frequencies, which implies that MENA markets are slow in adjusting to the information they receive. The Global Financial Crisis generated stronger spillover effects between MENA markets than the political turmoil of the Arab Spring. These results are useful for investors with different investment horizons, and have policy implications for the maintenance of financial stability in this region.
1042-4431
Elsayed, Ahmed H.
fd4ed0bd-14e7-4fcc-9ff0-bfb3e3efff14
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Elsayed, Ahmed H.
fd4ed0bd-14e7-4fcc-9ff0-bfb3e3efff14
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889

Elsayed, Ahmed H. and Yarovaya, Larisa (2019) Financial stress dynamics in the MENA region: evidence from the ArabSpring. Journal of International Financial Markets, Institutions and Money. (doi:10.1016/j.intfin.2019.05.004).

Record type: Article

Abstract

In this paperwe analyse the impact of instability caused by the Arab Spring on the co-movements and volatility spillovers of aggregated Financial Stress Indices for eight MENA countries. Using a dynamic frequency connectedness framework,we conclude that stress transmission between markets is higher at low frequencies than at high frequencies, which implies that MENA markets are slow in adjusting to the information they receive. The Global Financial Crisis generated stronger spillover effects between MENA markets than the political turmoil of the Arab Spring. These results are useful for investors with different investment horizons, and have policy implications for the maintenance of financial stability in this region.

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REVISED_Financial_Stress_Dynamics_in_the_MENARegion - Accepted Manuscript
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More information

Accepted/In Press date: 18 May 2019
e-pub ahead of print date: 21 May 2019

Identifiers

Local EPrints ID: 432330
URI: http://eprints.soton.ac.uk/id/eprint/432330
ISSN: 1042-4431
PURE UUID: ccd5f4a9-2a30-4009-a48d-0385f36f9527
ORCID for Larisa Yarovaya: ORCID iD orcid.org/0000-0002-9638-2917

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Date deposited: 10 Jul 2019 16:30
Last modified: 28 Apr 2022 06:08

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Contributors

Author: Ahmed H. Elsayed
Author: Larisa Yarovaya ORCID iD

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