scholarly journals Wavelet Transform-Based Approach for Assess the Relationships between Stock Markets of Developed Countries and MENA Region

2014 ◽  
Vol 14 (24) ◽  
pp. 3392-3409
Author(s):  
Amel Abdoullah ◽  
Mohd Tahir Ismail
Keyword(s):  
Wavelet Transform ◽  
Stock Markets ◽  
Developed Countries ◽  
Mena Region

Impact of general trust on bank risk-taking: the moderating effect of confidence in banks

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Heba Masoud ◽  
Mohamed Albaity
Keyword(s):  
Risk Taking ◽  
Developing Economies ◽  
Negative Relationship ◽  
Developed Countries ◽  
Moderating Effect ◽  
Bank Risk ◽  
World Value Survey ◽  
Mena Region ◽  
Content Type ◽  
General Trust

PurposeThis study examines the effect of general trust (GT) and confidence in banks (CIB) on bank risk-taking. Besides, it explores the moderating role of CIB on the relationship between GT and bank risk-taking.Design/methodology/approachSecondary data was obtained from the World Value Survey, World Bank and BankFocus from 2011 to 2018. Two-step system GMM estimator was used to examine the links between the GT and CIB with bank risk-taking in MENA region.FindingsResults indicated that both GT and CIB negatively influenced bank risk-taking. Moreover, CIB weakened the negative relationship between GT and bank risk-taking. However, the results were different for MENA region as compared to the full sample.Originality/valueThe studies on the link between trust and bank risk-taking are either carried out on an international sample or using a developed economies sample. However, the authors believe that developing economies might exhibit different relationships due to cultural and structural differences present in developed countries. Besides, the authors believe that testing the moderating effect of CIB could shed more light on the differences between developing and developed countries.

CREDIT CYCLES IN COUNTRIES IN THE MENA REGION — DO THEY EXIST? DO THEY MATTER?

2020 ◽  
Vol 20 (01) ◽  
pp. 2050001
Author(s):  
LEILA AGHABARARI ◽  
AHMED ROSTOM
Keyword(s):  
Spectral Analysis ◽  
Middle East ◽  
Private Sector ◽  
North Africa ◽  
Developed Countries ◽  
Gdp Growth ◽  
Medium Term ◽  
Mena Region ◽  
Credit Growth ◽  
Credit Cycles

This paper estimates the private sector credit cycles for most of the oil-importing and oil-exporting countries in the Middle East and North Africa. Credit cycles are the medium-term component in spectral analysis of real private sector credit growth. Besides, the paper estimates the credit cycles for several developed countries. The analysis finds substantial differences and rare similarities between credit cycles in the Middle East and North Africa and advanced countries. During 1964–2017, credit cycles in the Middle East and North Africa do not appear to be associated with GDP growth. They only explained a fraction of the growth in private sector credit, and they do not seem to be synchronized across oil-exporters and oil-importers.

Time poverty in Egypt and Tunisia: is there a gender gap?

2019 ◽  
Vol 18 (3) ◽  
pp. 261-289
Author(s):  
Asmaa Ezzat ◽  
Hanan Nazier
Keyword(s):  
Gender Gap ◽  
Developed Countries ◽  
Gender Inequalities ◽  
North African ◽  
Mena Region ◽  
Content Type ◽  
Mena Countries ◽  
Time Poverty ◽  
Use Of Data ◽  
Individual Household

Purpose The purpose of this paper is to investigate the gender differences in time poverty in two Middle East North African (MENA) countries, particularly Egypt and Tunisia, as well as examining its determinants across gender. Design/methodology/approach To this end, the authors make use of data provided by the Labor Market Panel Survey (LMPS) in Egypt (2012) and in Tunisia (2014) to estimate probit regressions to identify various determinants that explain time poverty. Findings The empirical findings show that the probability of time poverty, in both countries, is lower for women compared to men. In addition, the determinants of time poverty (individual, household and community variables) and their marginal effects differ across gender. Originality/value Research on the gender inequalities in time poverty and its determinants has been very limited. Additionally, the relationships between individuals’ time use and the conditions under which this might represent time poverty have not been fully studied in the literature. Moreover, most of the available studies have focused on developed countries; while studies tackling this issue in developing countries are very few. For the MENA region, in particular, this topic is totally missing in the available literature.

Approaches to examination of Liquidity and Volatility Risk Pricing in Stock Markets–Implications for Indian Case

2017 ◽  
Vol 4 (2) ◽  
pp. 1-9
Author(s):  
Neha Bansal ◽  
Ved Prakash Bansal
Keyword(s):  
Asset Pricing ◽  
Emerging Markets ◽  
Conceptual Framework ◽  
Stock Markets ◽  
Developed Countries ◽  
Volatility Risk ◽  
Uncertain Factor ◽  
Risk Pricing

Liquidity and Volatility Risks is twin asset pricing issues that altogether affect the operational functioning and pricing in stock markets all over the globe. In developed countries as well in emerging markets, the researchers have put in large efforts to find the liquidity and volatility risk structures in individual stocks and well as market as a whole. There is also an on-going research to explore whether there is a common uncertain factor across these risk classes. In this paper we provide a conceptual framework of the issue of liquidity and volatility and also the approaches used by researchers to measure the liquidity and volatility risk.

On the Problems of Short Term Forecasting of Russian Stock Market

2019 ◽  
Vol 6 (6) ◽  
pp. 84-88
Author(s):  
М. Галустян ◽  
M. Galustyan
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Developed Countries ◽  
Comparison Method ◽  
Graphical Analysis ◽  
Bric Countries ◽  
Daily Data ◽  
Main Indicator ◽  
Short Term Forecasting ◽  
Russian Stock Market

The features of the Russian stock market that affect the process and the result of forecasting its main indicator — MICEX — are considered, the mechanism that makes it difficult to predict the index for each of the features is described. A comparative analysis of the Russian stock market with the stock markets of other countries in accordance with the above features. Using the mathematical and statistical methods the increased influence of these features and problems on the Russian stock market in comparison with the stock markets of other BRIC countries, developed countries, the Eurozone countries is proved. The paper uses such methods as: correlation analysis, graphical analysis, analysis of variance, comparison method, method of retrospection. Monthly and daily data for 2010–2017 are used in calculations and graphs.

scholarly journals The effects of volatility and changes in conditional correlations in the stock markets of Russia and developed countries

2020 ◽  
Vol 65 (227) ◽  
pp. 67-94
Author(s):  
Oleg Salmanov ◽  
Natalia Babina ◽  
Marina Samoshkina ◽  
Irina Drachena ◽  
Irina Salmanova
Keyword(s):  
Stock Markets ◽  
Statistical Significance ◽  
Developed Countries ◽  
Investment Strategies ◽  
Russian Market ◽  
The Us ◽  
The Usa ◽  
International Portfolios ◽  
Russian Stock Market ◽  
The Uk

The aim of this article is to identify patterns of profitability volatility and to establish the degree of dynamic conditional correlation between the stock markets of developed countries and those of Russia. This issue is important for investment strategies and the international diversification of investments. We use the BEKK-GARCH, CCC-GARCH, and DCCGARCH models and show that the correlation between the Russian stock market and the markets of the USA, UK, Germany, and France has decreased significantly in recent years. We find that while the correlation between the Russian market and the mature European markets is bidirectional, the relationship between the US market and the Russian market is unidirectional. An assessment of the transfer of volatility from all of the mature markets to the Russian market establishes its statistical significance and shows that feedback from the Russian market to the UK and German markets is insignificant. Diversification of international portfolios in the Russian market is recommended.

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.

Sign in / Sign up

Export Citation Format

Share Document