Financial Integration: The Tunisian Context

Abstract

The systemic nature of financial shocks has prompted much theoretical work on the channels of transmission of shocks between capital markets and other macroeconomic elements, and the transmission of volatilities within the capital market itself. It is within this framework of analysis that our research is written. We try to study the transmission of volatility shocks between stock markets and the interactions between these markets. In this framework of analysis, it is particularly necessary to study to what extent financial globalization and financial integration have led to a stronger correlation of global financial markets and more particularly between those of advanced and emerging countries? We focus here on the issue of the financial integration of emerging countries by proposing complementary econometric approaches. For this, we establish OLS regressions in slippery windows—which make it possible to evaluate the extent to which shocks in regional or advanced markets are transmitted to emerging countries, and the CCC-GARCH model estimating the dynamics of the integration of these markets emerging. For the period between 2008 and 2018, refer to empirical data from the Tunisian stock market.