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The Journal of Wealth Management

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Article

Does Investors’ Fear Gauge in a Mature Market Matter? Evidence from the MENA Region

Bana Abuzayed, Nedal Al-Fayoumi and Talah S. Arabiyat
The Journal of Wealth Management Summer 2018, 21 (1) 71-87; DOI: https://doi.org/10.3905/jwm.2018.21.1.071
Bana Abuzayed
is an associate professor of banking and finance at Qatar University in Qatar
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Nedal Al-Fayoumi
is a professor of finance in the College of Business and Economics at Qatar University in Qatar
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Talah S. Arabiyat
is an assistant professor of economics in the School of Management and Logistics Sciences at German Jordanian University in Amman, Jordan
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Abstract

This article examines the notion that less developed markets may be deemed safe havens for international investors. It tests the effect of mature markets’ fear on risk and return in less developed markets. The study employs multivariate VAR-GARCH methodology to test for volatility spillover between the U.S. market risk perception index (VIX) and 12 Middle East and North African (MENA) stock markets. It examines volatility spillover before, during, and after the global financial crisis to assess fear spillover during stable and turbulent periods. Results reveal that MENA stock markets’ own volatility spillover is predominant. The authors find weak volatility transmission between mature and emerging markets around the global financial crisis; however, no evidence of volatility spillover during the same period exists. This study encourages international investors to evaluate new diversification opportunities in MENA markets that may not be available in major markets.

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The Journal of Wealth Management: 21 (1)
The Journal of Wealth Management
Vol. 21, Issue 1
Summer 2018
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Does Investors’ Fear Gauge in a Mature Market Matter? Evidence from the MENA Region
Bana Abuzayed, Nedal Al-Fayoumi, Talah S. Arabiyat
The Journal of Wealth Management Apr 2018, 21 (1) 71-87; DOI: 10.3905/jwm.2018.21.1.071

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Does Investors’ Fear Gauge in a Mature Market Matter? Evidence from the MENA Region
Bana Abuzayed, Nedal Al-Fayoumi, Talah S. Arabiyat
The Journal of Wealth Management Apr 2018, 21 (1) 71-87; DOI: 10.3905/jwm.2018.21.1.071
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  • Article
    • Abstract
    • FINANCIAL MARKETS IN MENA COUNTRIES: STYLIZED FACTS
    • DATA SELECTION AND DESCRIPTIVE STATISTICS
    • METHODOLOGY
    • EMPIRICAL RESULTS
    • CONCLUSIONS
    • APPENDIX A
    • APPENDIX B
    • ENDNOTES
    • REFERENCES
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