Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region

Andrea Cipollini, Mohamed Abdelaziz Eissa, Andrea Cipollini, Georgios Chortareas

Research output: Contribution to journalArticle

7 Citations (Scopus)

Abstract

In this article, we examine the presence of volatility spillovers between nominal exchange rates and stock returns in three MENA countries: Egypt, Morocco and Turkey. The multivariate GARCH model we use does not produce evidence of cross-market effects for the general stock indices returns. Nevertheless, bidirectional shock and volatility spillovers between exchange rates and stock returns exist at the industry sector level. These findings are more pronounced in Egypt and Turkey. The different results are due to the different exchange rate regimes/policies adopted by the three countries. While exchange rates in Egypt and Turkey were allowed to float, Morocco followed a more tightly managed exchange rate regime.
Original languageEnglish
Number of pages28
JournalJournal of Emerging Market Finance
Volume9
Publication statusPublished - 2010

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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