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Financial crises and contagion vulnerability of MENA stock markets
16 references·16 citing·38 second hopsampled
Financial crises and contagion vulnerability of MENA stock markets (2016)Financial crises and contagion vulnerabil…Modern portfolio theory, 1950 to date (2011)Modern portfolio theory, 1950…The Transmission of Financial Stress from Advanced to Emerging Economies (2009)The Transmission of Financial…Sudden stops and the Mexican wave: Currency crises, capital flow reversals and output loss in emerging markets (2005)Sudden stops and the Mexican …Predictable Risk and Returns in Emerging Markets (2005)Predictable Risk and Returns …Empirical modelling of contagion: a review of methodologies (2005)Empirical modelling of contag…A Decomposition of Global Linkages in Financial Markets Over Time (2004)A Decomposition of Global Lin…Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process (2001)Maximum eigenvalue versus tra…Capital-Markets Crisis and Economic Collapse in Emerging Markets: An Informational-Frictions Approach (2000)Capital-Markets Crisis and Ec…GOLBALIZATION, CORPORATE FINANCE, AND THE COST OF CAPITAL (1999)GOLBALIZATION, CORPORATE FINA…Statistical inference in vector autoregressions with possibly integrated processes (1995)Statistical inference in vect…Predictable Risk and Returns in Emerging Markets (1994)Predictable Risk and Returns …Vector Autoregressions and Causality (1993)Vector Autoregressions and Ca…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …Inference in Linear Time Series Models with some Unit Roots (1990)Inference in Linear Time Seri…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Financial connectedness and risk transmission among MENA countries: Evidence from connectedness network and clustering analysis (2022)Financial connectedness and r…Volatility Modeling: An Overview of Equity Markets in the Euro Area during COVID-19 Pandemic (2021)Volatility Modeling: An Overv…Response of stock market volatility to COVID-19 announcements and stringency measures: A comparison of developed and emerging markets (2021)Response of stock market vola…On the prediction of financial distress in emerging markets: What matters more? Empirical evidence from Arab spring countries (2021)On the prediction of financia…Network-based estimation of systematic and idiosyncratic contagion: The case of Chinese financial institutions (2019)Network-based estimation of s…Financial stress dynamics in the MENA region: Evidence from the Arab Spring (2019)Financial stress dynamics in …Did the Arab Spring reduce MENA countries’ growth? (2019)Did the Arab Spring reduce ME…STOCK RETURNS, VOLATILITY AND MEAN REVERSION IN EMERGING AND DEVELOPED FINANCIAL MARKETS (2018)STOCK RETURNS, VOLATILITY AND…Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes (2018)Sectoral dynamics of financia…TREND ANALYSIS OF GLOBAL STOCK MARKET LINKAGE BASED ON A DYNAMIC CONDITIONAL CORRELATION NETWORK (2017)TREND ANALYSIS OF GLOBAL STOC…Sustainability of macroeconomic policies in selected MENA countries: Post financial and debt crises (2017)Sustainability of macroeconom…Stock market liquidity, family ownership, and capital structure choices in an emerging country (2017)Stock market liquidity, famil…Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be? (2017)Empirical analysis of market …Do Islamic banks fail more than conventional banks? (2017)Do Islamic banks fail more th…A global network topology of stock markets: Transmitters and receivers of spillover effects (2017)A global network topology of …Impact of terrorist attacks on stock market volatility in emerging markets (2016)Impact of terrorist attacks o…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)A Survey of Corporate Governance (1997)Corporate Ownership Around the World (1999)Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets (2001)What matters for financial development? Capital controls, institutions, and interactions (2005)International Differences in the Cost of Equity Capital: Do Legal Institutions and Securities Regulation Matter? (2006)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework (1998)Introductory Econometrics for Finance (2008)Optimal Inference in Cointegrated Systems (1991)Making wald tests work for cointegrated VAR systems (1996)Testing for short- and long-run causality: A frequency-domain approach (2005)Energy consumption, carbon emissions, and economic growth in China (2009)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Multifactor Explanations of Asset Pricing Anomalies (1996)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Financial Contagion through Capital Connections: A Model of the Origin and Spread of Bank Panics (2004)Financial contagion and the real economy (2011)Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach (2013)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors (1999)Stocks, bonds, money markets and exchange rates: measuring international financial transmission (2010)Speculators, commodities and cross-market linkages (2013)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Local Return Factors and Turnover in Emerging Stock Markets (1999)A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Tourism as a long-run economic growth factor: the Spanish case (2002)Energy consumption, income, and carbon emissions in the United States (2006)Bounds testing approaches to the analysis of level relationships (2001)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1995Statistical inference in vector autoregressions with possibly integrated processes6,097 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • 1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
  • 1999GOLBALIZATION, CORPORATE FINANCE, AND THE COST OF CAPITAL1,264 cited
  • 1994Predictable Risk and Returns in Emerging Markets1,042 cited
  • 1993Vector Autoregressions and Causality867 cited
  • 2005Empirical modelling of contagion: a review of methodologies549 cited
  • 2004A Decomposition of Global Linkages in Financial Markets Over Time413 cited
  • 2009The Transmission of Financial Stress from Advanced to Emerging Economies408 cited
  • 2011Modern portfolio theory, 1950 to date358 cited
  • 2001Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process237 cited
  • 2005Sudden stops and the Mexican wave: Currency crises, capital flow reversals and output loss in emerging markets227 cited
  • 2005

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Predictable Risk and Returns in Emerging Markets
214 cited
  • 2000Capital-Markets Crisis and Economic Collapse in Emerging Markets: An Informational-Frictions Approach204 cited
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    • 2022Financial connectedness and risk transmission among MENA countries: Evidence from connectedness network and clustering analysis71 cited
    • 2016Impact of terrorist attacks on stock market volatility in emerging markets70 cited
    • 2017Do Islamic banks fail more than conventional banks?68 cited
    • 2017A global network topology of stock markets: Transmitters and receivers of spillover effects68 cited
    • 2017Stock market liquidity, family ownership, and capital structure choices in an emerging country61 cited
    • 2021On the prediction of financial distress in emerging markets: What matters more? Empirical evidence from Arab spring countries60 cited
    • 2017Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?48 cited
    • 2021Volatility Modeling: An Overview of Equity Markets in the Euro Area during COVID-19 Pandemic39 cited
    • 2019Network-based estimation of systematic and idiosyncratic contagion: The case of Chinese financial institutions38 cited
    • 2018Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes37 cited
    • 2018STOCK RETURNS, VOLATILITY AND MEAN REVERSION IN EMERGING AND DEVELOPED FINANCIAL MARKETS37 cited
    • 2019Did the Arab Spring reduce MENA countries’ growth?35 cited
    • 2017TREND ANALYSIS OF GLOBAL STOCK MARKET LINKAGE BASED ON A DYNAMIC CONDITIONAL CORRELATION NETWORK32 cited
    • 2017Sustainability of macroeconomic policies in selected MENA countries: Post financial and debt crises30 cited