No abstract

This paper empirically investigates the relationship between financial development and economic growth in the North Africa region, using a panel regression and different indicators of financial development. We find that the relation depends on the type of the indicator of financial development. In fact, while both financial institutions and markets in Morocco and Tunisia have a positive effect on the economic growth, only the financial markets in Egypt will improve economic growth by increasing the supply of financial services. For Algeria, the banking system has a positive effect on economic growth.

This study employs data envelope analysis to produce the efficiency measures for both Islamic and conventional banks and conducts the means tests to investigate the efficiency comparison between the two bank types in the Gulf Cooperation Council (GCC) countries. 28 conventional banks and 20 Islamic banks are selected across the six countries in the GCC according to data availability for the period 2006 -2012. Two output variables, total loans and investments, and four input variables, total deposit, equity, fixed assets and general expenses are used in the DEA. Under the assumption of constant return to scale, no evidence is found for efficiency difference between the two bank types; and under the assumption of variable return to scale, the conventional banks are found to be more efficient than their Islamic counterparts in two points of time, 2009 and 2010, following the 2008 financial crisis. For within country efficiency comparisons, the two bank types are the same in Saudi Arabia, Kuwait and Qatar. The conventional banks are found to be more efficient than their Islamic counterparts in Bahrain and Emirates. The paper finds no evidence for the presence of technological improvements in the banking operations as indicated by the Malmquist productivity analysis.

In this paper, we investigate the volatility spillovers between equity market indexes for Islamic and non-Islamic emerging countries. To do so, we implement a combination of a vector autoregressive (VAR) and a multivariate GARCH models under BEKK specification (VAR-BEKK-MGARCH) models with constant conditional correlation (CCC) and dynamic conditional correlations (DCC) for daily equity returns of six markets, namely Turkey, Indonesia, Egypt, Mexico, China and Brazil. Our findings disclose strong volatility spillovers among the Islamic and the non-Islamic country' market returns. The volatility spillovers are time varying and are affected by the occurrence of recent financial crises. Furthermore, we extent the volatility spillovers analysis by providing some financial implications in terms of optimal portfolio' allocations and hedging effectiveness. Specifically, we estimate the optimal weights for a minimum risk multi-country portfolios, we compute the hedge ratio and we assess the hedging strategies' effectiveness. Our findings provide prominent implications for policy makers and portfolio managers in terms of the stability of the financial systems, asset allocation decisions and designing portfolio hedging strategies.