Volatility Spillovers and Contagion between Stock Markets

Emna Abdennadher^1, and Slaheddine Helara²

¹Higher Institute Of Management Of Sousse, University Of Sousse, Tunisia

²Higher Institute Of Management Of Tunis, University Of Tunisia, Tunisia

Cite this paper:
Emna Abdennadher and Slaheddine Helara. Volatility Spillovers and Contagion between Stock Markets. International Journal of Business and Risk Management. 2021; 4(1):1-8. doi: 10.12691/ijbrm-4-1-1

Abstract

One of the most debated issues of financial markets is the importance of volatility and contagion, especially during the periods of global financial crises. To address this literature gap, this paper tries to examine the possible factors behind contagion. To achieve that, we examine a wide array of proxies’ variables controlling fundamental and pure contagion for MENA and US stock markets during the period from April 2005 to March 2015 using a regression model. Overall, our results provide considerable evidence about the coexistence of “pure” and “fundamental-based contagion” during the global financial crises and its effect on the stock market volatility spillovers.

Keywords:
volatility spillover fundamental based contagion pure contagion Global Financial Crisis MENA stock markets

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