Return Dynamics and Volatility Spillovers Between FOREX and Stock Markets in MENA Countries: What to Remember for Portfolio Choice?
| Autor: | Mongi Arfaoui, Aymen Ben Rejeb |
|---|---|
| Rok vydání: | 2015 |
| Předmět: |
volatility spillovers
HF5001-6182 Financial economics media_common.quotation_subject Stock and flow g15 portfolio allocations Interdependence Investment decisions mena markets hedging efficiency Economics Portfolio f21 Business Foreign exchange foreign exchange flow-stock oriented model var-garch model g11 Volatility (finance) Foreign exchange market f31 Stock (geology) media_common |
| Zdroj: | International Journal of Management and Economics, Vol 46, Iss 1, Pp 72-100 (2015) |
| ISSN: | 2299-9701 |
| DOI: | 10.1515/ijme-2015-0022 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
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