Saoussen Kouki

(Faculty of Economic Sciences and Management, Tunisia)

 

 

Abstract: In this work we will try to test out the level of financial integration, to analyze the volatility of financial series at the international diversification. By developing an asymmetrical of the GARCH multivariate model of De Santis and Gérard (1997, 1998), in order to test the conditional version of CAMP International, we will test the dynamical interactions between the volatility of every market of the east-south Mediterranean countries and the European market. This model is assessed for eight stock markets of the East and South of the Mediterranean (Algeria, Morocco, Turkey, Tunisia, Syria, Jordan, Libya and Egypt) and five European stock markets (Germany, France, Spain, Italy and the United Kingdom). The model is assessed over the period from January 1980 to December 2009, simultaneously for all the markets. Our findings show that the existence of transmissions on average and variance increases the interdependence of the markets and reduces the benefice of the international diversification.

 

 

Key words: financial integration; international diversification; transmission of chocks; transmission of

volatility chocks; GARCH multivariate

 

JEL codes: F36, G12, G15