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Gammoudi and Cherif    

Full Length Research Paper

The global financial crisis and financial contagion in MENA stock markets

Mouna Gammoudi1 and Mondher Cherif2

1Phd. Student in economics. Laboratoire REGARDS, Université de Reims Champagne Ardenne- France 2Economiste financier HDR. Laboratoire REGARDS Université de Reims Champagne Ardenne- France

Corresponding Email Address: mounagammoudi@yahoo.fr; Tel: +33(0) 7.86.10.94.00

Received September 30, 2014; Accepted October 21, 2014

Abstract  

This paper examined the contagion effect of the global financial crisis in Middle East and North Africa (MENA) stock markets. It used an adjust correlation coefficients and cointegration method in order to explore the short-run interdependencies and to investigate the potential time varying behavior of long-run stock market relationships among MENA stock markets and the US stock market over the period 2005-2011. Results indicate that despite the significant contagion in the MENA region, there still exist short-run diversification benefits in some of the stock market mainly Kuwait, Jordan and Tunisia. The Gulf Cooperation Council (GCC) stock markets appear to be more vulnerable to international movements in long-run. Morocco, Egypt and Tunisia stock markets are partially immune to external shock; this makes them suitable for portfolio diversification strategy mainly for long-term investment.

Keywords: Contagion, Co-integration, Subprime Crisis , Stock Market , MENA region.

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