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.

Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region / Cipollini, Andrea; M. A., Eissa; G., Chortareas. - In: JOURNAL OF EMERGING MARKET FINANCE. - ISSN 0973-0710. - ELETTRONICO. - 9:3(2010), pp. 257-284. [10.1177/097265271000900301]

Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region

CIPOLLINI, Andrea;
2010

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.
2010
9
3
257
284
Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region / Cipollini, Andrea; M. A., Eissa; G., Chortareas. - In: JOURNAL OF EMERGING MARKET FINANCE. - ISSN 0973-0710. - ELETTRONICO. - 9:3(2010), pp. 257-284. [10.1177/097265271000900301]
Cipollini, Andrea; M. A., Eissa; G., Chortareas
File in questo prodotto:
Non ci sono file associati a questo prodotto.
Pubblicazioni consigliate

Licenza Creative Commons
I metadati presenti in IRIS UNIMORE sono rilasciati con licenza Creative Commons CC0 1.0 Universal, mentre i file delle pubblicazioni sono rilasciati con licenza Attribuzione 4.0 Internazionale (CC BY 4.0), salvo diversa indicazione.
In caso di violazione di copyright, contattare Supporto Iris

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11380/704946
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 11
  • ???jsp.display-item.citation.isi??? ND
social impact