On the Stability of MENA Stock Market Linkages During Crises: New Insights from Quantiles and Timescales

This study analyses the stability of financial linkages in the Middle East and North Africa (MENA) across time horizons and under extreme market conditions. A set of novel econometric models combining frequency and quantile analysis is applied. We investigate the connectedness of MENA stock markets using a quantile frequency connectedness approach based on the quantile vector autoregressive (QVAR) model. We develop a unified framework to identify contagion effects, as well as safe-haven, hedge,