مجلة الباحث
Volume 15, Numéro 15, Pages 31-40
2015-06-01

Testing Contagion Through Causality : An Empirical Investigation Through Five Arab Countries



Authors : Seddiki Safia .

Abstract

This paper aims to investigate whether the financial turbulence, associated with the political instability after the Arab Spring, spread to other stable countries. For this purpose, we have employed a Granger-causality approach to test if there were causal connections between price indices of five Arab stock markets. Our findings suggest that there was evidence on contagion only from Tunisia to Jordan, and from Egypt to Morocco.

Keywords

Contagion, Granger-causality, Arab Spring.

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