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Title: MENA stock market volatility persistence: evidence before and after the financial crisis of 2008
Authors: Assaf, Ata 
Affiliations: Faculty of Business and Management 
Keywords: Long memory
MENA equity markets
Emerging markets
Weak-form market efficiency
Issue Date: 2016
Publisher: Elsevier
Part of: Research in International Business and Finance
Volume: 36
Start page: 222
End page: 240
The global financial crisis began with a financial meltdown in the United States in early 2008 and then it had spread to the rest of the world. In this paper we test whether the MENA equity market volatility presents a different behavior before and after the financial crisis of 2008. Using long range dependence techniques we test for long memory in the returns, absolute and squared returns of the MENA equity markets. We subject the series to unit root tests that allow for structural breaks and use the Bai and Perron (1998, Econometrica,
66, 47; 2003a, J. Appl. Econometrics, 6, 72; 2003b, Econometrics J., 18, 1) to test for multiple
breaks in the mean returns. The results indicate that the volatility measures represented
by absolute and squared returns show evidence of long memory for the full and subsample periods, while the returns show a weak evidence of long memory. Considering the shift dates and corresponding to the 2008 financial crisis, the returns and volatility measures display less evidence of long memory in the after crisis period as opposed to the before crisis period. The change in the returns and volatility dynamics of these markets was due to financial and economic conditions that took place in the MENA region after the crisis.
DOI: 10.1016/j.ribaf.2015.09.003
Ezproxy URL: Link to full text
Type: Journal Article
Appears in Collections:Department of Business Administration

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