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Journal Articles Emerging Markets Review Year : 2014

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

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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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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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