Stochastic Dominance Based Performance Ranking and Shock Transmission between MENA Countries’ GDP Growth and Stock Market Return

Posted: 19 Nov 2015 Last revised: 12 Aug 2016

See all articles by Fathi Abid

Fathi Abid

University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory

Slah Bahloul

University of Sfax - Higher Institute of Business Administration

Mourad Mroua

University of Sfax

Date Written: November 19, 2015

Abstract

The aim of this paper is twofold. It is first to evaluate the comparative performance of ten MENA (Middle East and North Africa) countries according to GDP growth and stock market return indicators using the non-parametric stochastic dominance approach. We will then use a multivariate vector autoregressive (VAR) model to investigate the shock transmission from the most performing country to other dominated countries. Results, over the period from June 2005 to December 2013, show that the dominance of MENA countries differs across indicators. Qatar and Morocco are respectively the most performing countries according to GDP growth and stock market return. Furthermore, the GDP growth response to Qatar GDP growth shock is statistically significant for all countries while, the stock market response to Morocco stock market shock is insignificant in Qatar, Saudi Arabia, and UAE. The response time of stock market return is also short when it is significant. Finally, this finding shows that the GDP growth dominance has the greater effect than the stock market dominance.

Keywords: GDP growth, stock market return, stochastic dominance, VAR model, shock, generalized impulse response

JEL Classification: G10, O40

Suggested Citation

Abid, Fathi and Bahloul, Slah and Mroua, Mourad, Stochastic Dominance Based Performance Ranking and Shock Transmission between MENA Countries’ GDP Growth and Stock Market Return (November 19, 2015). Available at SSRN: https://ssrn.com/abstract=2692954 or http://dx.doi.org/10.2139/ssrn.2692954

Fathi Abid

University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory ( email )

Road of Airport, Km 4
Sfax, sfax 3018
Tunisia
+216 7427 9154 (Phone)

Slah Bahloul (Contact Author)

University of Sfax - Higher Institute of Business Administration ( email )

Road of the Airport 4
Sfax, BP 1013
Tunisia

Mourad Mroua

University of Sfax ( email )

14, Rue de Jugourta
Sfax, 3001
Tunisia
0021698656786 (Phone)

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