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On The Risk-Return Relationship in European and MENA Major Stock Markets During the 2008 Financial Crisis
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Author(s): Salim Lahmiri (Department of Computer Science, University of Quebec at Montreal, Montreal, QC, Canada, & ESCA School of Management, Casablanca, Morocco)and Stephane Gagnon (Department of Administrative Sciences, University of Quebec in Outaouais, Canada)
Copyright: 2016
Pages: 13
Source title:
Comparative Economics and Regional Development in Turkey
Source Author(s)/Editor(s): Bryan Christiansen (PryMarke, LLC, USA)and M. Mustafa Erdoğdu (Marmara University, Turkey)
DOI: 10.4018/978-1-4666-8729-5.ch011
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Abstract
The purpose of this study is to examine the relationship between risk and return in financial markets. In particular, a comparative study is conducted to shed light on such association by using stock market data from Middle East and North Africa (MENA) and Europe. The exponential generalized autoregressive conditionally heteroskedastic in the mean (EGARCH-M) methodology is adopted to investigate the return generating process in financial markets under study during the 2008 financial crisis. Empirical findings show evidence that some MENA region financial markets generated more risk reward than European stock markets.
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