Yes / It is believed that financial markets are integrated and sensitive to news – including political conflicts
in some regions of the world. Furthermore, financial markets seem to react differently to information
flows from one region to another. The purpose of this research is to discern the effects of the recent
Middle East and North Africa (MENA) conflicts – commonly referred to as the Arab Spring – on the
volatility of risks and returns of global and regional stock markets as well as Gold and Oil markets.
To be more specific, we consider the main uprisings in Tunisia, Egypt, Libya and Yemen and their
impact on financial markets – as measured by the volatility of their risks and returns. In sum, we
cluster 53 stock markets into 6 regions; namely, developed, developing, MENA, Asia, Europe, and
Latin America countries, and use T-GARCH to assess the reaction of these regions to each uprising
event independently. In addition, we use GARCH-M to assess the reaction of these regions stock
markets as well as Gold and Oil markets to the uprisings of MENA as a whole. Our empirical findings
suggest that the uprising events of MENA have more impact on the volatility of risks and returns of
developed, developing, and Europe regions than MENA itself. In addition, although the results show
that the volatility of both risks and returns of both developed and MENA regions are significantly
affected by general conflicts in MENA, the volatility of MENA is affected during all intervals and
with higher significance level. Furthermore, while MENA uprisings as a whole impact on the
volatility of risk of oil (after 5 days) and gold (immediately after entering news) significantly, the
returns of these markets are not affected by conflicts.
| Identifer | oai:union.ndltd.org:BRADFORD/oai:bradscholars.brad.ac.uk:10454/16706 |
| Date | 2014 May 1914 |
| Creators | Mousavi, Mohammad M., Quenniche, J. |
| Source Sets | Bradford Scholars |
| Language | English |
| Detected Language | English |
| Type | Article, Accepted manuscript |
| Rights | (c) 2014 West Illinois University. Full-text reproduced with publisher permission. |
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