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Bellalah, M., Aloui, C. and Abaoub, E. (2005). Long-range dependence in daily volatility on Tunisian stock market.

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Article

Volatility Spillovers and Contagion between Stock Markets

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

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


International Journal of Business and Risk Management. 2021, Vol. 4 No. 1, 1-8
DOI: 10.12691/ijbrm-4-1-1
Copyright © 2021 Science and Education Publishing

Cite this paper:
Emna Abdennadher, 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.

Correspondence to: Emna  Abdennadher, Higher Institute Of Management Of Sousse, University Of Sousse, Tunisia. Email: abdennadheremna@hotmail.com

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.

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