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Emerging Markets and the Global Economy by Duc Khuong Nguyen, Sabri Boubaker, Mohammed Hedi Arouri

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Chapter 26

Stock and Bond Markets Co-movements in Selected MENA Countries: A Dynamic Coherence Function Approach

Jamel Boukhatema,b and Zied Ftitic,d,    aFaculty of Islamic Economics and Finance, Umm Al-Qura University, Mecca, Saudi Arabia,    bURMOFIB, FSEG University of Tunis El Manar, Tunisia,    cIPAG Business School, IPAG lab, Paris, France,    dUniversity of Tunis, High Institute of Management, GEF-2A Laboratory, Tunis, Tunisia,    E-mail: jamel.boukhatem@isg.rnu.tn, Zied.Ftiti@isg.rnu.tn

Abstract

The aim of this chapter is to study the degree of interdependence between bond-stock market returns in selected MENA countries. To this end, we propose a new empirical methodology allowing a time-varying dynamic correlation measure between the ...

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