The transmission of U.S. financial and monetary shocks to emerging MENA stock markets.

摘要

MENA stock markets didn't receive significant attention in the existing literature. However, there is a growing interest among U.S. and European investors for the MENA region. First. "newly launched markets" is usually characterized by high stock returns. Secondly, with increasing global integration, cross borders mergers and acquisitions in emerging markets, have become an important source of growth financing in emerging markets and a source of income for foreign investors. In fact, stock market anticipates significant value creation from cross-border transactions that involve emerging-market targets leading to substantial gains for shareholders of both acquirer and target firm. Consequently, "Europa Events", an institution based in London interested in stock market returns worldwide, organized a conference in July 2006 to examine the future of the Middle East stock markets, and their ability to attract IPO's.;This study will be divided to three chapters at which each chapter tries to examine a certain type of shock---financial, monetary, exchange rate---on either stock prices and returns volatility or domestic inflation in consumer and whole prices.;Chapter one investigates the international transmission of daily stock index volatility movements from U.S. and U.K. to selected MENA emerging markets: Egypt, Israel, and Turkey1. That is, does the U.S. and U.K. stock market indeed influence MENA emerging stock markets? Are there any markets whose movements are causally prior to those of other markets? And how rapidly is the price movements in one market transmitted to other markets?;Chapter two is trying to answer three questions: first, do regularly scheduled meetings of the Federal Open Market Committee (FOMC) have an influence on the volatility of the selected emerging stock markets? Secondly, markets react to new information; hence a greater response would be expected in terms of trading activity if there is an unanticipated element to any information revealed. How does emerging stock markets returns and volatility respond to surprises in US monetary policy? Finally, whether volatility of the selected emerging stock markets reacts differently is investigated depending on whether there is an unexpected increase or decrease in policy rates.;Finally, chapter three investigates the impact of exchange rate movement on prices in Egypt and Israel. That is, do exchange rate movements pass through to prices (CPI & WPI) and cause inflation?;1Egypt, Israel, and Turkey are the largest economies in the ULNA region other than oil producing countries.