Open AccessVolatility Transmission from Mature Global Stock Markets to Middle East and North African Stock Markets
Author(s) -
Akash Dania,
John E. Spillan
Publication year - 2012
Publication title -
accounting and finance research
Language(s) - English
Resource type - Journals
eISSN - 1927-5994
pISSN - 1927-5986
DOI - 10.5430/afr.v2n1p19
Subject(s) - volatility (finance) , stock (firearms) , spillover effect , middle east , emerging markets , economics , leverage (statistics) , autoregressive conditional heteroskedasticity , stock market , leverage effect , financial economics , business , monetary economics , international economics , geography , finance , macroeconomics , context (archaeology) , archaeology , machine learning , computer science
The objective of this paper is to model the dynamics of volatility transmission from mature global stock markets of France, Germany, UK and the US to MENA (Middle East and North African) markets of Bahrain, Egypt, Jordan, Kuwait, Lebanon, Morocco, Oman, Qatar, Tunisia, and the United Arab Emirates. GARCH, TGARCH models of returns are estimated to determine evidence of volatility spillover from global mature markets to emerging or less mature markets of MENA region. We find evidence of different level of volatility spillover and leverage effect. This varying response to global stock market shocks reveals that MENA stock markets are not fully integrated with global economy.