The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets☆
Highlights
► We model the transmission channels of the global financial crisis on the MENA region. ► We highlight important aspects of financial contagion in the MENA stock markets. ► The Saudi market is the dominant market among the oil producing MENA markets. ► Among the non-GCC MENA markets, Egypt is the dominant market.
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An earlier version of this manuscript was presented at a conference on “Institutional, Corporate, and Individual Behaviors in Emerging and Subsistence Marketplaces” Aix-en-Provence, France, 1–2 September, 2011. The author is grateful to the editor of the journal, two anonymous referees and several conference participants for very constructive comments and suggestions. The author is also grateful to Mario Rached for superb research assistance. Financial support from the Institute of Financial Economics of the American University of Beirut is gratefully acknowledged.