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

Berna KIRKULAK ULUDAĞ, (Dokuz Eylül Üniversitesi, İzmir, Türkiye.)
Hassan EZZAT (Maastricht School of Management)
Journal of Yasar University
9 3
Yıl: 2017 Cilt: 12 Sayı: 45 Sayfa Aralığı: 32 - 47 Metin Dili: Türkçe İndeks Tarihi: 29-07-2022

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

Öz:
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 ofstock returns among the stock markets. In order to understand the impact of the Egyptian Revolution on the volatility spillover, the sample issplit into two parts; the pre-revolution period (2007-2010) and post-revolution period (2011-2013). In addition to the pre-and post-revolutionperiods, we also tested the volatility spillover in MENA stock markets during the sub-prime mortgage financial crisis (2007-2009). Thefindings show that the Egyptian stock market experienced high volatility and dramatic decrease, in particular, during the post-revolutionperiod. The results of BEKK-GARCH and DCC-GARCH reveal the fact that there is a strong shock transmission from Egypt to Turkey, SaudiArabia and Israel during the pre-and post-revolution period. In particular, the volatility of Egyptian stock market drives the volatility of stockreturns in Turkey, Saudi Arabia and Israel negatively in the post-revolution period. The findings further show that the volatility transmission inMENA stock markets is more apparent during the sub-prime mortgage crisis than during the pre-Egyptian Revolution period.
Anahtar Kelime:

Konular: İşletme İktisat

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

Öz:
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.
Anahtar Kelime:

Konular: İşletme İktisat
Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA KIRKULAK ULUDAĞ B, EZZAT H (2017). Volatility Spillover Effect in MENA Stock Markets: Evidence from Pre-and Post- Egyptian Revolution. , 32 - 47.
Chicago KIRKULAK ULUDAĞ Berna,EZZAT Hassan Volatility Spillover Effect in MENA Stock Markets: Evidence from Pre-and Post- Egyptian Revolution. (2017): 32 - 47.
MLA KIRKULAK ULUDAĞ Berna,EZZAT Hassan Volatility Spillover Effect in MENA Stock Markets: Evidence from Pre-and Post- Egyptian Revolution. , 2017, ss.32 - 47.
AMA KIRKULAK ULUDAĞ B,EZZAT H Volatility Spillover Effect in MENA Stock Markets: Evidence from Pre-and Post- Egyptian Revolution. . 2017; 32 - 47.
Vancouver KIRKULAK ULUDAĞ B,EZZAT H Volatility Spillover Effect in MENA Stock Markets: Evidence from Pre-and Post- Egyptian Revolution. . 2017; 32 - 47.
IEEE KIRKULAK ULUDAĞ B,EZZAT H "Volatility Spillover Effect in MENA Stock Markets: Evidence from Pre-and Post- Egyptian Revolution." , ss.32 - 47, 2017.
ISNAD KIRKULAK ULUDAĞ, Berna - EZZAT, Hassan. "Volatility Spillover Effect in MENA Stock Markets: Evidence from Pre-and Post- Egyptian Revolution". (2017), 32-47.
APA KIRKULAK ULUDAĞ B, EZZAT H (2017). Volatility Spillover Effect in MENA Stock Markets: Evidence from Pre-and Post- Egyptian Revolution. Journal of Yasar University, 12(45), 32 - 47.
Chicago KIRKULAK ULUDAĞ Berna,EZZAT Hassan Volatility Spillover Effect in MENA Stock Markets: Evidence from Pre-and Post- Egyptian Revolution. Journal of Yasar University 12, no.45 (2017): 32 - 47.
MLA KIRKULAK ULUDAĞ Berna,EZZAT Hassan Volatility Spillover Effect in MENA Stock Markets: Evidence from Pre-and Post- Egyptian Revolution. Journal of Yasar University, vol.12, no.45, 2017, ss.32 - 47.
AMA KIRKULAK ULUDAĞ B,EZZAT H Volatility Spillover Effect in MENA Stock Markets: Evidence from Pre-and Post- Egyptian Revolution. Journal of Yasar University. 2017; 12(45): 32 - 47.
Vancouver KIRKULAK ULUDAĞ B,EZZAT H Volatility Spillover Effect in MENA Stock Markets: Evidence from Pre-and Post- Egyptian Revolution. Journal of Yasar University. 2017; 12(45): 32 - 47.
IEEE KIRKULAK ULUDAĞ B,EZZAT H "Volatility Spillover Effect in MENA Stock Markets: Evidence from Pre-and Post- Egyptian Revolution." Journal of Yasar University, 12, ss.32 - 47, 2017.
ISNAD KIRKULAK ULUDAĞ, Berna - EZZAT, Hassan. "Volatility Spillover Effect in MENA Stock Markets: Evidence from Pre-and Post- Egyptian Revolution". Journal of Yasar University 12/45 (2017), 32-47.
Sayfa Oluşturulma Tarihi
07-05-2024 6:4

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