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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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https://hal-audencia.archives-ouvertes.fr/hal-00841198
Contributor : Alexis Guyot <>
Submitted on : Thursday, July 4, 2013 - 10:32:22 AM
Last modification on : Thursday, July 30, 2020 - 3:28:17 AM

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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, Elsevier, 2014, 18, pp.101-122. ⟨10.1016/j.ememar.2014.01.003⟩. ⟨hal-00841198⟩

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