@article{ijbrm2021411,
author={{Abdennadher, Emna and Helara, Slaheddine},
title={Volatility Spillovers and Contagion between Stock Markets},
journal={International Journal of Business and Risk Management},
volume={4},
number={1},
pages={1--8},
year={2021},
url={http://pubs.sciepub.com/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.},
doi={10.12691/ijbrm-4-1-1}
publisher={Science and Education Publishing}
}