Stock and exchange rate movements in the MENA countries: A Markov Switching –VAR Model

Purpose ― This article explores the causal link between stock and currency returns in The Middle Eastern North African (MENA) countries from January 2011 through February 2020. Methods study uses Vector autoregressive (VAR) Markov switching vector (MS-VAR) models to investigate dynamic causality equity exchange rate markets. Findings Results indicate that this relation depends on state of Furthermore, generally, have a significant impact markets, whatever market state. Implication Regime shifts relationship markets are for portfolio allocation because they help investors improve their investment decisions knowledge these Originality adds literature rates prices MENA countries, which become attractive destinations international due higher returns.