• English
    • العربية
  • العربية
  • Login
  • QU
  • QU Library
  •  Home
  • Communities & Collections
  • Help
    • Item Submission
    • Publisher policies
    • User guides
    • FAQs
  • About QSpace
    • Vision & Mission
View Item 
  •   Qatar University Digital Hub
  • Qatar University Institutional Repository
  • Academic
  • Faculty Contributions
  • College of Business and Economics
  • Finance & Economics
  • View Item
  • Qatar University Digital Hub
  • Qatar University Institutional Repository
  • Academic
  • Faculty Contributions
  • College of Business and Economics
  • Finance & Economics
  • View Item
  •      
  •  
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Does investors' fear gauge in a mature market matter? Evidence from the MENA region

    Thumbnail
    Date
    2018
    Author
    Abuzayed, Bana
    Al-Fayoumi, Nedal
    Arabiyat, Talah S.
    Metadata
    Show full item record
    Abstract
    This article examines the notion that less developed markets may be deemed safe havens for international investors. It tests the effect of mature markets' fear on risk and return in less developed markets. The study employs multivariate VAR-GARCH methodology to test for volatility spillover between the U.S. market risk perception index (VIX) and 12 Middle East and North African (MENA) stock markets. It examines volatility spillover before, during, and after the global financial crisis to assess fear spillover during stable and turbulent periods. Results reveal that MENA stock markets' own volatility spillover is predominant. The authors find weak volatility transmission between mature and emerging markets around the global financial crisis; however, no evidence of volatility spillover during the same period exists. This study encourages international investors to evaluate new diversification opportunities in MENA markets that may not be available in major markets.
    DOI/handle
    http://dx.doi.org/10.3905/jwm.2018.21.1.071
    http://hdl.handle.net/10576/38486
    Collections
    • Finance & Economics [‎437‎ items ]

    entitlement


    Qatar University Digital Hub is a digital collection operated and maintained by the Qatar University Library and supported by the ITS department

    Contact Us | Send Feedback
    Contact Us | Send Feedback | QU

     

     

    Home

    Submit your QU affiliated work

    Browse

    All of Digital Hub
      Communities & Collections Publication Date Author Title Subject Type Language Publisher
    This Collection
      Publication Date Author Title Subject Type Language Publisher

    My Account

    Login

    Statistics

    View Usage Statistics

    About QSpace

    Vision & Mission

    Help

    Item Submission Publisher policiesUser guides FAQs

    Qatar University Digital Hub is a digital collection operated and maintained by the Qatar University Library and supported by the ITS department

    Contact Us | Send Feedback
    Contact Us | Send Feedback | QU

     

     

    Video