انتقال پویا بین بازار سرمایه ایالات متحده و بازار سرمایه در کشورهای خاورمیانه و شمال آفریقا: شواهد جدید از قبل و بعد از بحران مالی جهانی

In this paper we investigate equity returns and volatility co-movement between the U.S. and a group of large Middle East and North African stock markets before and after the global financial crisis in 2008. Our empirical evidence suggests that the pre-crisis relation with the U.S. was weak and negligible, before it jumped to a high level after the crisis. The large diversification in the pre-crisis period was negatively influenced by higher transmissions after the crisis. However, it did not completely disappear during periods of stress. Moreover, there is some evidence that the association with the U.S. has started to revert to its initial low level and therefore, we may conclude that the Middle East and North African equities are important diversifiers for U.S. investors; particularly in the long run.