Efficiency classification among MENA region stock markets indexes: Insights from multifractal spectrum and MSM forecasts

2022 ◽  
Vol 1 (1) ◽  
pp. 1
Author(s):  
Monia Antar
Keyword(s):  
Stock Markets ◽  
Multifractal Spectrum ◽  
Mena Region

scholarly journals The COVID-19 Outbreak and Risk–Return Spillovers between Main and SME Stock Markets in the MENA Region

2022 ◽  
Vol 10 (1) ◽  
pp. 6
Author(s):  
Nassar S. Al-Nassar ◽  
Beljid Makram
Keyword(s):  
Saudi Arabia ◽  
Stock Markets ◽  
Practical Implication ◽  
Mena Region ◽  
Asymmetric Volatility ◽  
Volatility Spillovers ◽  
Dynamic Correlations ◽  
Stock Portfolio ◽  
Different Characteristics ◽  
Portfolio Design

This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small and medium-sized enterprise (SME) stock markets in Saudi Arabia and Egypt for the periods before and during the COVID-19 pandemic. Return and volatility spillovers are modelled using a VAR-asymmetric BEKK–GARCH (1,1) model, while a VAR-asymmetric DCC–GARCH (1,1) model is employed to model the dynamic conditional correlations between these markets, which are then used to determine and explore portfolio design and hedging implications. The results show that while bidirectional return spillovers between the main and SME stock markets are limited to Saudi Arabia, shock and volatility spillovers have different characteristics and dynamics in both main–SME market pairs. In addition, the dynamic correlations between the main and SME markets are mostly positive and have notably increased during the COVID-19 pandemic, particularly in Saudi Arabia, suggesting that adding SME stocks to a main stock portfolio enhances its risk-adjusted return, especially during tranquil market phases. One practical implication of our results is that the development of SME stock markets can indirectly contribute to economic development via the main market channel and provide an avenue for portfolio diversification and risk management.

scholarly journals The Impact of Coronavirus Pandemic on Stock Market Return: The Case of the MENA Region

2020 ◽  
Vol 12 (12) ◽  
pp. 100
Author(s):  
Amr Arafa ◽  
Nader Alber
Keyword(s):  
Stock Market ◽  
United Arab Emirates ◽  
Stock Markets ◽  
Stock Market Index ◽  
Mena Region ◽  
Stock Market Returns ◽  
Market Return ◽  
Stock Market Return ◽  
June July ◽  
The Impact

This paper attempts to investigate the impact of Coronavirus spread on the stock markets of MENA region. Coronavirus has been measured by cumulative total cases, cumulative total deaths, new cases and new deaths, while stock market return is measured by Δ in the stock market index. This has been applied on stock markets of 7 countries (Egypt, Jordan, Morocco, Qatar, Saudi Arabia, United Arab Emirates, and Tunisia), on daily basis during the period from March 1, 2020, to July 24, 2020. Results indicate that stock market returns in the MENA countries tend to be negatively affected Coronavirus cumulative deaths and Coronavirus new deaths. A robustness check has been conducted for each country during the whole period, showing significant effect of Coronavirus cumulative cases in Jordan and Tunisia and significant effect of Coronavirus cumulative deaths in Jordan, Morocco and Tunisia, without any evidence about the effects of Coronavirus new cases and Coronavirus new cases. After splitting the research period into 4 sub-periods (March, April, May, June- July 24), results support the impact of “cumulative Coronavirus cases” on stock market return in Jordan during May and in Morocco during April. Besides, the impact of “cumulative Coronavirus deaths” has been supported in in Morocco during April, and in Tunisia during March and June-July. Moreover, “new Coronavirus cases” seems to have a significant impact in Jordan during May and in Tunisia during March. Also, “new Coronavirus deaths” shows a significant effect in Morocco during May.

Emerging Markets Reward Risk

2016 ◽  
Vol 7 (3) ◽  
pp. 65-76
Author(s):  
Salim Lahmiri ◽  
Stephane Gagnon
Keyword(s):  
Financial Crisis ◽  
North Africa ◽  
Stock Markets ◽  
Mena Region ◽  
2008 Financial Crisis ◽  
International Financial Crisis ◽  
Show Evidence ◽  
European Stock Markets ◽  
The Relationship ◽  
Asset Managers

The relationship between risk and return in Middle East and North Africa (MENA) region stock markets is estimated during 2008 international financial crisis; including Jordan, KSA, Morocco, and Turkey. For comparison purpose, stock markets from Europe are also examined; including, FTSE (UK), CAC40 (France), DAX (Germany), and the Swiss market. The empirical findings show evidence that; contrary to European stock markets; MENA region stock markets generally reward risk during 2008 financial crisis. This result is important for international asset managers and investors to consider investing in emergent markets from MENA region.

Emerging Markets Reward Risk

2018 ◽  
pp. 421-433
Author(s):  
Salim Lahmiri ◽  
Stephane Gagnon
Keyword(s):  
Financial Crisis ◽  
Stock Markets ◽  
Mena Region ◽  
2008 Financial Crisis ◽  
Risk And Return ◽  
International Financial Crisis ◽  
Show Evidence ◽  
European Stock Markets ◽  
The Relationship ◽  
Asset Managers

The relationship between risk and return in Middle East and North Africa (MENA) region stock markets is estimated during 2008 international financial crisis; including Jordan, KSA, Morocco, and Turkey. For comparison purpose, stock markets from Europe are also examined; including, FTSE (UK), CAC40 (France), DAX (Germany), and the Swiss market. The empirical findings show evidence that; contrary to European stock markets; MENA region stock markets generally reward risk during 2008 financial crisis. This result is important for international asset managers and investors to consider investing in emergent markets from MENA region.

The asymmetric impact of interest and exchange rate on the stock market index: evidence from MENA region

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Faten Moussa ◽  
Ezzeddine Delhoumi
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Stock Markets ◽  
Stock Market Index ◽  
Mena Region ◽  
Content Type ◽  
Market Index ◽  
The Exchange Rate ◽  
The Interest Rate

PurposeSeveral theoretical and empirical studies have shown the significant effects of economic and environmental factors on a large number of financial indicators. In this paper the authors are going to study whether the main stock market index, is impacted by the variations of the exchange rate and the interest rates.Design/methodology/approachThis paper studies the response of the index market return to fluctuations in the interest rate and the exchange rate in five countries from the MENA region (Tunisia, Morocco, Egypt, Turkey and Jordan). To investigate whether this impact exists, the authors used the non-linear autoregressive distributed lag (NARDL) model with daily data from June 1998 to June 2018.FindingsThe application of the non-linear ARDL model confirms the presence of cointegration between return index, interest rate and exchange rate. The results show that the asymmetry hypothesis is only valid for the short run which suggests that the market index is sensitive to the variation in the interest rate and exchange rate. This means that these macroeconomic factors play an important role in the MENA region stock markets.Originality/valueThe findings confirm that the index returns in the MENA region stock markets are related to macroeconomic fundamentals such as the exchange rate and the real interest rate. The reaction of some indices is sensitive to whether the shocks are positive or negative. This finding may help investors to choose their strategies starting from these changes. Accordingly, policy makers must pay attention to the development progress of stock market.

On The Risk-Return Relationship in European and MENA Major Stock Markets During the 2008 Financial Crisis

2016 ◽  
pp. 252-264
Author(s):  
Salim Lahmiri ◽  
Stephane Gagnon
Keyword(s):  
Financial Crisis ◽  
Financial Markets ◽  
Stock Markets ◽  
Mena Region ◽  
2008 Financial Crisis ◽  
Risk Return ◽  
Show Evidence ◽  
The 2008 Financial Crisis ◽  
European Stock Markets ◽  
The Relationship

The purpose of this study is to examine the relationship between risk and return in financial markets. In particular, a comparative study is conducted to shed light on such association by using stock market data from Middle East and North Africa (MENA) and Europe. The exponential generalized autoregressive conditionally heteroskedastic in the mean (EGARCH-M) methodology is adopted to investigate the return generating process in financial markets under study during the 2008 financial crisis. Empirical findings show evidence that some MENA region financial markets generated more risk reward than European stock markets.

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