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 (VAR) model. We develop a unified framework to identify contagion effects, as well as safe-haven, hedge, and diversifier properties, using a wavelet quantile correlation 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.
Rahmouni et al. (Thu,) studied this question.