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A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

Slah Bahloul (Higher School of Business Administration, University of Sfax, Sfax, Tunisia)
Nawel Ben Amor (Faculty of Economics and Management of Sfax, University of Sfax, Sfax, Tunisia)

International Journal of Emerging Markets

ISSN: 1746-8809

Article publication date: 24 March 2021

Issue publication date: 1 December 2022

278

Abstract

Purpose

This paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.

Design/methodology/approach

The authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.

Findings

The results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.

Originality/value

This paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

Keywords

Acknowledgements

The authors would like to thank the editors and reviewers for helpful comments.

Citation

Bahloul, S. and Ben Amor, N. (2022), "A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets", International Journal of Emerging Markets, Vol. 17 No. 10, pp. 2763-2786. https://doi.org/10.1108/IJOEM-03-2020-0251

Publisher

:

Emerald Publishing Limited

Copyright © 2021, Emerald Publishing Limited

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