Volatility spillover and herding in the Middle East and North African stock markets

The first aim of this thesis is to examine the market behaviour of the Middle East North African (MENA) region. This aim is fulfilled by examining the volatility of eight selected markets representing the MENA region using ARCH/GARCH models. Using the volatility estimated using the GJR-GARCH model, the volatility spillover of the MENA region is investigated using the most commonly used index, the Diebold and Yilmaz (henceforth, DY) (2012) index. The sample period from 2003 to 2018 covers several important events that the region experienced, including the Global Financial Crisis, and the Arab Spring. Using monthly data, the spillover is investigated for the full sample, as well as for pre-, during, and post-crisis periods, in order to quantify the effects of different market conditions. Even though the DY framework is the most commonly used approach, one of the criticisms about this approach is its inability to provide the significance levels of the estimates. The second aim of this thesis is to overcome this criticism by implementing the stationary bootstrap technique in order to provide the significance level of the DY estimates. This is important in interpreting the results and increases the reliability of the drawn conclusions. The results show that there are signs of spillover within the MENA region. However, the total spillover is lower than expected given the strong ties between the eight countries, which leads to further analysis of the divided sample to investigate volatility spillover under different market conditions. The ‘pre-crisis’ subsample contains fewer significant spillover indexes than the full sample, indicating that the spillover is possibly due to the volatile period included in the full sample. In the ‘crisis’ subsample the crisis has clearly increased spillover, with a greater number of significant spillover indexes. Meanwhile, in the ‘post-crisis’ subsample the transmissions remain accentuated by the crises experienced within the MENA region.In addition to the examination of the transmission across the MENA markets, this thesis also sheds light on investors’ behaviour in Egypt. The third aim of this thesis is therefore to examine the existence of herding behaviour in the Egyptian stock market. Egypt witnessed the most significant events during the sample period 2005 to 2019. In consideration of the numerous events that took place, the results show evidence of herding originated in first Egyptian revolution period, persisted in the second Egyptian revolution and economic reform period. Surprisingly, no herding is found during the Global Financial Crisis period. Furthermore, as investors may make similar investment decisions as a response to fundamental market information, it becomes necessary to differentiate between intentional and unintentional herding. Using the Fama-French-Carhart risk factors as a representation of the fundamental factors, the results show that, during periods of stress, such as the Arab Spring, the second Egyptian Revolution and the Economic Reform, there is evidence of unintentional herding. After the first Egyptian revolution the investors became more uncertain and continued to herd intentionally and unintentionally during the second Egyptian revolution and economic reform periods

Attitudes towards old age and age of retirement across the world: findings from the future of retirement survey

The 21st century has been described as the first era in human history when the world will no longer be young and there will be drastic changes in many aspects of our lives including socio-demographics, financial and attitudes towards the old age and retirement. This talk will introduce briefly about the Global Ageing Survey (GLAS) 2004 and 2005 which is also popularly known as “The Future of Retirement”. These surveys provide us a unique data source collected in 21 countries and territories that allow researchers for better understanding the individual as well as societal changes as we age with regard to savings, retirement and healthcare. In 2004, approximately 10,000 people aged 18+ were surveyed in nine counties and one territory (Brazil, Canada, China, France, Hong Kong, India, Japan, Mexico, UK and USA). In 2005, the number was increased to twenty-one by adding Egypt, Germany, Indonesia, Malaysia, Poland, Russia, Saudi Arabia, Singapore, Sweden, Turkey and South Korea). Moreover, an additional 6320 private sector employers was surveyed in 2005, some 300 in each country with a view to elucidating the attitudes of employers to issues relating to older workers. The paper aims to examine the attitudes towards the old age and retirement across the world and will indicate some policy implications