Testing contagion through causality : An empirical investigation of five Arab countries

Abstract

This paper aims to investigate whether the financial turbulence, associated with the political instability after the Arab Spring, spread to other stable countries. For this purpose, we have employed a Granger-causality approach to test if there were causal connections between price indices of five Arab stock markets. Our findings suggest that there was evidence on contagion only from Tunisia to Jordan, and from Egypt to Morocco.