Volatility Spillover Effect in MENA Stock Markets: Evidence from Pre-and Post- Egyptian Revolution

This study investigates the volatility spillover of stock returns among the stock markets of Egypt, Turkey, Saudi Arabia, and Israel. The sampling period is over the period of 2007and 2013. BEKK-GARCH and DCC-GARCH models are used to test the volatility spillover of stock returns among the stock markets. In order to understand the impact of the Egyptian Revolution on the volatility spillover, the sample is split into two parts; the pre-revolution period (2007-2010) and post-revolution period (2011-2013). In addition to the pre-and post-revolution periods, we also tested the volatility spillover in MENA stock markets during the sub-prime mortgage financial crisis (2007-2009). The findings show that the Egyptian stock market experienced high volatility and dramatic decrease, in particular, during the post-revolution period. The results of BEKK-GARCH and DCC-GARCH reveal the fact that there is a strong shock transmission from Egypt to Turkey, Saudi Arabia and Israel during the pre-and post-revolution period. In particular, the volatility of Egyptian stock market drives the volatility of stock returns in Turkey, Saudi Arabia and Israel negatively in the post-revolution period. The findings further show that the volatility transmission in MENA stock markets is more apparent during the sub-prime mortgage crisis than during the pre-Egyptian Revolution period.

MENA Hisse Senedi Piyasalarında Oynaklık Yayılma Etkisi: Mısır Devrimi Öncesi ve Sonrasına Dair Bulgular

Bu çalışma, Mısır, Türkiye, Suudi Arabistan ve İsrail hisse senedi piyasalarındaki hisse senedi getirilerinin oynaklık yayılmasını incelemektedir. Çalışmanın örneklem dönemi 2007-2013 yılları arasındadır. Piyasalardaki hisse senedi getirilerinin oynaklık yayılmasını test etmek için BEKK-GARCH ve DCC-GARCH modelleri kullanılmıştır. Hisse senedi getirilerinin oynaklık yayılması üzerinde Mısır Devriminin etkisini anlamak için, örneklem ikiye ayrılmıştır; devrim öncesi dönem (2007-2010) ve devrim sonrası dönem (2011-2013). Devrim öncesi ve sonrası dönemin yanı sıra bu çalışmada 2007-2009 eşik-altı konut finansal krizi süresince MENA bölgesindeki hisse senedi piyasalarındaki oynaklık yayılımı da test edilmiştir. Çalışmanın bulguları, Mısır hisse senedi piyasasının çok oynak olduğunu ve özellikle devrim sonrası dönemde hisse senedi getirilerinin dramatik bir şekilde düştüğünü göstermektedir. BEKK-GARCH ve DCC-GARCH sonuçları devrim öncesi ve sonrası dönemde Mısır’dan Türkiye’ye, Suudi Arabistan’a ve İsrail’e kuvvetli bir şok geçişi olduğunu göstermektedir. Özellikle, Mısır hisse senedi piyasasındaki oynaklık Türkiye, Suudi Arabistan ve İsrail piyasalarındaki hisse senedi getiri oynaklıklarını devrim sonrası dönemde negatif etkilemektedir. Bulgular ayrıca MENA bölgesinde hisse senedi piyasalarındaki oynaklık yayılımının Mısır Devrimi öncesi döneme göre eşik-altı konut krizi döneminde daha belirgin olduğunu göstermektedir.


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