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Author
Arfaoui Mongi (University of Monastir, Tunisia), Rejeb Aymen Ben (University of Monastir, Tunisia)
Title
Return Dynamics and Volatility Spillovers Between FOREX and Stock Markets in MENA Countries: What to Remember for Portfolio Choice?
Source
International Journal of Management and Economics, 2015, nr 46, s. 72-100, wykr., tab., bibliogr. 40 poz.
Zeszyty Naukowe / Szkoła Główna Handlowa. Kolegium Gospodarki Światowej
Keyword
Rynki giełdowe, Decyzje inwestycyjne, Rynek walutowy
Stock markets, Investment decisions, Foreign Exchange (FX)
Note
summ.
Abstract
This article investigates the interdependence of stock-forex markets in MENA (Middle East and North Africa) countries for the February 26, 1999 to June 30, 2014 period. The analysis has been performed through three competing models: the VAR-CCC-GARCH model of Bollerslev [1990]; the VAR-BEKK-GARCH model of Engle and Kroner [1995]; and the VAR-DCC-GARCH model of Engle [2002]. Our findings confirm that both markets are interdependent and corroborate the stock and flow oriented approaches. We also find that, comparing to optimal weights, hedge ratios are typically low, denoting that hedging efficiency is quite good. Our estimation of hedging efficiency suggests that incorporating foreign exchange in a full stock, unhedged portfolio increases the risk-adjusted return while reducing its variance. (We note here that the forex market is overweighted for both portfolio allocations and hedging strategies.) Moreover, this conclusion holds for all countries in all three models. (original abstract)
Accessibility
The Library of Warsaw School of Economics
The Main Library of the Wroclaw University of Economics
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ISSN
2299-9701
Language
eng
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