Abstract
In this paper we investigate equity returns and volatility co-movement between the U.S. and a group of large Middle East and North African stock markets before and after the global financial crisis in 2008. Our empirical evidence suggests that the pre-crisis relation with the U.S. was weak and negligible, before it jumped to a high level after the crisis. The large diversification in the pre-crisis period was negatively influenced by higher transmissions after the crisis. However, it did not completely disappear during periods of stress. Moreover, there is some evidence that the association with the U.S. has started to revert to its initial low level and therefore, we may conclude that the Middle East and North African equities are important diversifiers for U.S. investors; particularly in the long run.
DOI
10.1016/j.qref.2014.08.005
Publication Date
2015-05-01
Publication Title
The Quarterly Review of Economics and Finance
Volume
56
Publisher
Elsevier BV
ISSN
1062-9769
Embargo Period
2024-11-19
First Page
123
Last Page
138
Recommended Citation
Maghyereh, A., Awartani, B., & Hilu, K. (2015) 'Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis', The Quarterly Review of Economics and Finance, 56, pp. 123-138. Elsevier BV: Available at: https://doi.org/10.1016/j.qref.2014.08.005
