Open AccessContagion In MENA Countries During The 2008 Financial Meltdown
Author(s) -
Loujaina El Sayed,
Nourhan Hegazi
Publication year - 2013
Publication title -
journal of business and economics research
Language(s) - English
Resource type - Journals
eISSN - 2157-8893
pISSN - 1542-4448
DOI - 10.19030/jber.v11i7.7949
Subject(s) - financial contagion , financial crisis , economics , diversification (marketing strategy) , equity (law) , emerging markets , globe , autoregressive conditional heteroskedasticity , financial market , middle east , contagion effect , stock (firearms) , monetary economics , financial economics , finance , volatility (finance) , business , macroeconomics , geography , medicine , archaeology , marketing , political science , ophthalmology , law
Despite originating in the U.S., the repercussions of the 2008 global financial crisis were spread all over the globe to affect all classes of economies, suggesting the presence of a global contagious effect.MENA countries, which have recently become more integrated into the world economy, were also severely impacted.However, studying the contagious effect of the global financial crisison MENA stock markets was not common in literature despite their importance for international diversification. This paper attempts to test for contagion from the U.S. to MENA equity markets during the 2008 global financial crisis using the change in correlations approach. We employ two models: the adjusted correlation model and the dynamic conditional correlations DCC-GARCH model. Results provide an evidence ofthe existence of contagion from the US to a number of MENA equity markets. The adjusted correlation model was proved tobe biased towards the conclusion of no contagion when compared to the findings of the DCC-GARCH model.