Volatility Spillover Effects in Emerging MENA Stock Markets

Abstract

International stock markets worldwide experienced a downturn in stock prices and activities following the subprime mortgage crisis in the U.S. in mid-2008. This suggests that stock prices volatility do spillover from one market to another. Thus, the purpose of this paper is to investigate the international transmission of daily stock index volatility movements from U.S. and U.K. to selected MENA emerging markets: Egypt, Israel, and Turkey. Employing a multivariate GARCH in Mean technique due to Engle, the study finds that Egypt and Israel are significantly influenced by the U.S. stock market while Turkey is not.