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Investigating the Relationship Between Financial Stress Index and MENA Stock Markets Performance

Received: 16 July 2021     Accepted: 15 September 2021     Published: 27 September 2021
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Abstract

This article assesses the effect of financial stress caused by the great depression, 2008–2009, Oil crises of 2014–2015 accompanied by the sharp fall in the oil prices and the Arab Spring on the co-movements and volatility spillovers of aggregated Financial Stress Indices for eleven MENA countries. It is reveals that the extreme values of the FSIs are generally connected with well-known past financial stress episodes. We also found, for MENA Ex GCC countries, a weak interconnection between these countries while the GCC countries are more connected. Using a Vector auto-regression (VAR) estimation framework, we showed that the performance of the stock indices depends positively on its past and also, the stress index positively depends on his past delayed either by one or two periods. While, the study of impulse response functions shows that a positive shock on the financial stress index translates into a negative effect on stock market performance during the first year. This effect then disappears in slow motion before finding its long-term level.

Published in International Journal of Finance and Banking Research (Volume 7, Issue 5)
DOI 10.11648/j.ijfbr.20210705.12
Page(s) 111-122
Creative Commons

This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.

Copyright

Copyright © The Author(s), 2021. Published by Science Publishing Group

Keywords

Financial Stress, Financial Stress Index, Market Performance, VAR Estimation, Impulse Response Function

References
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Cite This Article
  • APA Style

    Hayet Soltani, Mouna Boujelbene Abbes, Abderrahmen Aloulou. (2021). Investigating the Relationship Between Financial Stress Index and MENA Stock Markets Performance. International Journal of Finance and Banking Research, 7(5), 111-122. https://doi.org/10.11648/j.ijfbr.20210705.12

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    ACS Style

    Hayet Soltani; Mouna Boujelbene Abbes; Abderrahmen Aloulou. Investigating the Relationship Between Financial Stress Index and MENA Stock Markets Performance. Int. J. Finance Bank. Res. 2021, 7(5), 111-122. doi: 10.11648/j.ijfbr.20210705.12

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    AMA Style

    Hayet Soltani, Mouna Boujelbene Abbes, Abderrahmen Aloulou. Investigating the Relationship Between Financial Stress Index and MENA Stock Markets Performance. Int J Finance Bank Res. 2021;7(5):111-122. doi: 10.11648/j.ijfbr.20210705.12

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  • @article{10.11648/j.ijfbr.20210705.12,
      author = {Hayet Soltani and Mouna Boujelbene Abbes and Abderrahmen Aloulou},
      title = {Investigating the Relationship Between Financial Stress Index and MENA Stock Markets Performance},
      journal = {International Journal of Finance and Banking Research},
      volume = {7},
      number = {5},
      pages = {111-122},
      doi = {10.11648/j.ijfbr.20210705.12},
      url = {https://doi.org/10.11648/j.ijfbr.20210705.12},
      eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijfbr.20210705.12},
      abstract = {This article assesses the effect of financial stress caused by the great depression, 2008–2009, Oil crises of 2014–2015 accompanied by the sharp fall in the oil prices and the Arab Spring on the co-movements and volatility spillovers of aggregated Financial Stress Indices for eleven MENA countries. It is reveals that the extreme values of the FSIs are generally connected with well-known past financial stress episodes. We also found, for MENA Ex GCC countries, a weak interconnection between these countries while the GCC countries are more connected. Using a Vector auto-regression (VAR) estimation framework, we showed that the performance of the stock indices depends positively on its past and also, the stress index positively depends on his past delayed either by one or two periods. While, the study of impulse response functions shows that a positive shock on the financial stress index translates into a negative effect on stock market performance during the first year. This effect then disappears in slow motion before finding its long-term level.},
     year = {2021}
    }
    

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    T1  - Investigating the Relationship Between Financial Stress Index and MENA Stock Markets Performance
    AU  - Hayet Soltani
    AU  - Mouna Boujelbene Abbes
    AU  - Abderrahmen Aloulou
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    DO  - 10.11648/j.ijfbr.20210705.12
    T2  - International Journal of Finance and Banking Research
    JF  - International Journal of Finance and Banking Research
    JO  - International Journal of Finance and Banking Research
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    PB  - Science Publishing Group
    SN  - 2472-2278
    UR  - https://doi.org/10.11648/j.ijfbr.20210705.12
    AB  - This article assesses the effect of financial stress caused by the great depression, 2008–2009, Oil crises of 2014–2015 accompanied by the sharp fall in the oil prices and the Arab Spring on the co-movements and volatility spillovers of aggregated Financial Stress Indices for eleven MENA countries. It is reveals that the extreme values of the FSIs are generally connected with well-known past financial stress episodes. We also found, for MENA Ex GCC countries, a weak interconnection between these countries while the GCC countries are more connected. Using a Vector auto-regression (VAR) estimation framework, we showed that the performance of the stock indices depends positively on its past and also, the stress index positively depends on his past delayed either by one or two periods. While, the study of impulse response functions shows that a positive shock on the financial stress index translates into a negative effect on stock market performance during the first year. This effect then disappears in slow motion before finding its long-term level.
    VL  - 7
    IS  - 5
    ER  - 

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Author Information
  • Faculty of Economics and Management of Sfax, Economic and Management Laboratory (LEG), University of Sfax, Sfax, Tunisia

  • Faculty of Economics and Management of Sfax, Economic and Management Laboratory (LEG), University of Sfax, Sfax, Tunisia

  • Graduate School of Business, Economic and Management Laboratory (LEG), University of Sfax, Sfax, Tunisia

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