Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region

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

Risultato della ricerca: Article

7 Citazioni (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.
Lingua originaleEnglish
Numero di pagine28
RivistaJournal of Emerging Market Finance
Volume9
Stato di pubblicazionePublished - 2010

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Stock exchange
Volatility spillover
Exchange rate volatility
Stock returns
Egypt
Turkey
Middle East and North Africa
Morocco
Exchange rate regimes
Exchange rate returns
Nominal exchange rate
Float
Stock index
Multivariate GARCH models
Industry
Exchange rates

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

Cita questo

Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region. / Cipollini, Andrea; Eissa, Mohamed Abdelaziz; Cipollini, Andrea; Chortareas, Georgios.

In: Journal of Emerging Market Finance, Vol. 9, 2010.

Risultato della ricerca: Article

Cipollini, Andrea ; Eissa, Mohamed Abdelaziz ; Cipollini, Andrea ; Chortareas, Georgios. / Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region. In: Journal of Emerging Market Finance. 2010 ; Vol. 9.
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