Bahloul, Slah; Abid, Fathi - In: Journal of Emerging Market Finance 13 (2014) 3, pp. 253-278
The objective of this article is to investigate the behaviour of the time-varying volatility in 11 Middle East and North African (MENA) countries’ stock market using a three-state Markov regime switching model over the period from 30 October 2006 to 21 October 2011. We find that MENA...