Wajih Khallouli

This study analyses the stability of financial linkages in the Middle East and North Africa (MENA) across time horizons and under extreme market conditions. A set of novel econometric models combining frequency and quantile analysis is applied. We investigate the connectedness of MENA stock markets using a quantile frequency connectedness approach based on the quantile vector autoregressive (QVAR) model. We develop a unified framework to identify contagion effects, as well as safe-haven, hedge, and diversifier properties, using a wavelet quantile correlation (WQC) method. Using daily data, the empirical results reveal strong spillover effects within MENA markets, with substantial instability. Shift contagion is identified, especially between Saudi Arabia, the United Arab Emirates (UAE), and Egypt, although no pure contagion is detected in the short term. Although MENA markets lack safe-haven assets, they offer hedging opportunities under normal conditions, providing the benefits of diversification that vary across investment horizons.

This study aims to examine whether the benefits of diversification within MENA stock markets are robust to changes across volatility regimes over the weekly period spanning from January 2004 to March 2025. The methodology adopted in this paper is based on testing the stability of shock transmission mechanisms across markets in the presence of regime-switching volatility, using a bivariate Markov switching model. The findings show that, in general, intra-MENA market linkages are unstable, with little evidence of robust portfolio diversification benefits during turbulent periods. From the perspective of portfolio strategies, our results highlight differences in portfolio allocation depending on the volatility regime and the country group, due to their heterogeneous characteristics. These findings are of great interest to policymakers, who should consider short-term responses to prevent the spread of contagion during crisis periods.

The paper investigates the interplay between clean energy, environmental pollution reduction, and economic growth in the Gulf Cooperation Council (GCC) countries from 1980 to 2019, utilizing the autoregressive distributed lag (ARDL) method. The study underscores the global transition towards cleaner energy sources and its implications for the region. In assessing the determinants of economic growth, the findings reveal a positive and significant short‐ and long‐term impact of energy production, with energy consumption exhibiting a positive and significant effect solely in the long term. The absence of a confirmed relationship in the short term is notable. Causality tests demonstrate a significant link from both energy consumption types to environmental pollution, alongside causal relationships from urbanization, energy production, and consumption to economic growth. Moreover, the results include the pivotal role of energy production in driving GDP growth, caution in short‐term energy consumption effects, and significant causal links between energy consumption and environmental pollution. The recommendations to incentivize sustainable energy production, engage in long‐term energy consumption planning, and adopt integrated urbanization policies provide actionable insights for policymakers. These suggestions are aimed at guiding the GCC countries in balancing the pursuit of economic growth with environmental sustainability—a delicate equilibrium that necessitates careful consideration of various factors.

The study revisits the stock–oil nexus by examining the reactions of equity markets to oil price shocks at national and sectoral levels for Saudi Arabia in a time‐varying framework by employing the Markov switching EGARCH model developed by Henry (2009,Journal of Banking and Finance, 33, 405). Based on weekly data, the findings reveal that the behaviour of all stock markets switches between an expansion regime and a recession regime, with more persistence for the expansion state. Additionally, influential international events associated with stock market drops are clearly identified in the recession regime. Furthermore, there is evidence of asymmetric reactions of the equity index returns and the probabilities of transition from one state to another to oil price variations, with heterogeneous impacts across sectors and regimes. The stock markets are more sensitive to oil price decreases than to oil price increases. Although the evidence of relatively slight differences in some findings across weekdays, the study allows investors and policymakers to understand well the interactions of stock sector markets vis‐à‐vis the world oil market in a regime‐switching framework, in order to make the right decision as regards portfolio diversification and regulation of the stock markets.

L’objet de cet article est de montrer empiriquement la supériorité d’une explication des crises financières récentes dans les pays émergents par la combinaison de facteurs endogènes et exogènes aux pays affectés plutôt que par le seul jeu de l’une ou l’autre de ces deux catégories de facteurs. À cet effet, nous bâtissons notre démarche sur des estimations d’un modèle de panel à erreurs composées ainsi que sur des statistiques de test des modèles emboîtés (test de Fisher). À ce jour, des éléments de preuve de la supériorité de cette approche n’ont pu être apportés que dans le contexte particulier de telle ou telle crise. Notre contribution fournit cette preuve à partir des données portant sur 14 pays émergents et 3 épisodes de récentes crises (mexicaine 1994, asiatique 1997 et russe 1998), couvrant ainsi la plupart des crises financières de ces 10 dernières années.