Shift-contagion in Middle East and North Africa stock markets

Abstract EN

This paper is an empirical study that seeks to determine whether any of the Middle East and North Africa (MENA) stock markets were vulnerable to financial contagion in the wake of the 2001 Turkish crisis.

In line with Ayadi et al.

(2006), we use a new procedure which consists of testing the non-linearity of the mechanisms spreading shocks, estimated with a model of long-term interdependence.

Our results provide evidence of high level of interdependence between MENA stock markets.

However, we find that, with the exemption of the contamination of Israel’s stock market, there is no evidence of shift-contagion in the transmission of financial shocks across MENA stock markets.