Interdependence and volatility transmission among MENA stock markets, gold, and Bitcoin: Evidence from VAR-BEKK approach
Based on hedging asset returns in gold and Bitcoin, this study investigates the interdependence and the spillover effects among these hedging assets and some Middle East and North Africa (MENA) stock market returns namely Jordan, Saudi Arabia, United Arab Emirates, Kuwait, and Morocco. VAR models and GARCH-BEKK model under the student t- distribution based on daily data from February 2017 to December 2021 are conducted in this study. The empirical results from VAR model indicated that there is a lower degree of association between all pairs during the covid-19 period thus a weak hedging capacity of gold and Bitcoin against the MENA region. Besides, results from GARCH-BEKK suggest that gold act only as diversifier for MENA stock markets and a safe-haven asset for Morocco and Kuwait market. However, Bitcoin can be regarded as a diversifier for the MENA stock markets especially for Saudi Arabia market. Our findings are useful for financial investors and policymakers needing forecasts of MENA region futures interdependence to optimize investment choices and to benefit from low transaction costs and high level of security.
Salma Jaghoubi. Interdependence and volatility transmission among MENA stock markets, gold, and Bitcoin: Evidence from VAR-BEKK approach. International Journal of Management and Economics, Volume 5, Issue 1, 2023, Pages 11-19