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Journal Articles Emerging Markets Review Year : 2014

Foreign shocks and international cost of equity destabilization. Evidence from the MENA region

Abstract

This paper investigates whether foreign financial shocks can destabilize the cost of equity in emerging markets. After a theoretical discussion, we develop annual metrics for the international cost of equity, financial integration, spillovers and shift-contagion vulnerability in a sample of 535 Middle East and North African firms from Egypt, Tunisia, Morocco and Jordan over the 1998-2011 period. We then analyze the impact of foreign shocks on the international cost of equity, using a set of SGMM and PVAR models. Our results indicate that external shocks can increase the cost of equity in mature emerging markets.
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Dates and versions

hal-00841198 , version 1 (04-07-2013)

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Alexis Guyot, Thomas Lagoarde-Segot, Simon Neaime. Foreign shocks and international cost of equity destabilization. Evidence from the MENA region. Emerging Markets Review, 2014, 18, pp.101-122. ⟨10.1016/j.ememar.2014.01.003⟩. ⟨hal-00841198⟩
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