Regional Integration of Stock Markets in MENA Countries
- 1 April 2006
- journal article
- Published by SAGE Publications in Journal of Emerging Market Finance
- Vol. 5 (1), 59-94
- https://doi.org/10.1177/097265270500500103
Abstract
Using a trivariate vector autoregression model with a proper control for hetroscedasticity, this article empirically investigates the interdependence among the daily equity market returns for four major Middle Eastern and North African (MENA) emerging markets. The four equity markets studied are the Jordanian, Egyptian, Moroccan and Turkish markets. Evidence indicates that none of the MENA markets is completely isolated and independent. However, the results of the dynamic links indicate that the integration among these markets is still weak. The weakness of economic and financial ties between the MENA countries may explain this result.Keywords
This publication has 45 references indexed in Scilit:
- Interdependence and dynamic linkages between the emerging stock markets of South AsiaAccounting & Finance, 2004
- Asymmetric Volatility and Risk in Equity MarketsThe Review of Financial Studies, 2000
- Short-term and long-term price linkages between the equity markets of Australia and its major trading partnersApplied Financial Economics, 1999
- Capital market integration in the Pacific Basin region: an impulse response analysisJournal of International Money and Finance, 1999
- Linkages between the US and European equity markets: further evidence from cointegration testsApplied Financial Economics, 1998
- High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns VolatilityEconometrica, 1998
- Distributional Characteristics of Emerging Market Returns and Asset AllocationThe Journal of Portfolio Management, 1998
- Dividend yields and expected stock returnsJournal of Financial Economics, 1988
- Expected stock returns and volatilityJournal of Financial Economics, 1987
- Modelling the persistence of conditional variancesEconometric Reviews, 1986