MENA stock markets' sustained financial connectivity: evidence from pre- vs. during Covid-19
by Ammar Jreisat; Somar Al-Mohamad; Mohamed M. Sraieb; Virginie Nahas; Fadia Al-Hajj
International Journal of Knowledge-Based Development (IJKBD), Vol. 12, No. 3/4, 2022

Abstract: The COVID-19 pandemic has caused profound financial turbulences in developing and developed stock markets alike. The aim of this paper is to investigate the recent changes in the level of financial integration across equity market indices in a selected sample of Middle East and North Africa (MENA) stock markets during the COVID-19 pandemic, as compared to the pre-COVID-19 period. For this aim, this paper utilises dataset from 2016 to 2018 as a proxy for the pre-Covide19 era, and from 2019 to the end of 2021 for 'during-COVID-19' period. This paper employs the Johansen-Juselius approach for cointegration, alongside with Granger Causality techniques, and Variance Decomposition (V.D). The main results of the cointegration test reveal that the financial integration of MENA stock markets has increased in the pandemic period as compared to before due to an increased number of cointegration vectors.

Online publication date: Thu, 09-Feb-2023

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