Work

On the Stability of MENA Stock Market Linkages During Crises: New Insights from Quantiles and Timescales

Year: 2026

Type: article

Abstract: This study analyses the stability of financial linkages in the Middle East and North Africa (MENA) across time horizons and under extreme market conditions. A set of novel econometric models combining frequency and quantile analysis is applied. We investigate the connectedness of MENA stock markets using a quantile frequency connectedness approach based on the quantile vector autoregressive (QVAR) model. We develop a unified framework to identify contagion effects, as well as safe-haven, hedge, and diversifier properties, using a wavelet quantile correlation (WQC) method. Using daily data, the empirical results reveal strong spillover effects within MENA markets, with substantial instability. Shift contagion is identified, especially between Saudi Arabia, the United Arab Emirates (UAE), and Egypt, although no pure contagion is detected in the short term. Although MENA markets lack safe-haven assets, they offer hedging opportunities under normal conditions, providing the benefits of diversification that vary across investment horizons.

Source: International Journal of Empirical Economics

DOI: 10.1142/s2810943026500010

Authors: Mohieddine Rahmouni, Wajih Khallouli

Institutions: King Faisal University, Tunis University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

Funder: Deanship of Scientific Research, King Faisal University

Award: G8166670757