On the Integration of Emerging Stock Markets in the Middle East

Ali F. Darrat · Khaled Elkhal · Sam Ramsey Hakim

90 citations0/0 files storedRePEc: Research Papers in Economics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

Results from the Johansen-Juselius test suggest that the Middle East emerging stock markets are segmented globally, but appear highly integrated within the region. Moreover, the Gonzalo- Granger test, in conjunction with error-correction models, indicates that the market in Egypt is a dominant force driving other markets in the region. The apparent segmentation of the markets in the Middle East from the global market implies that these emerging markets provide international investors with potential diversification gains.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 90 citations exist upstream.

References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1988Some recent development in a concept of causality 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES 1986Understanding spurious regressions in econometrics 1997Emerging equity market volatility 1989International Transmission of Stock Market Movements

Cited by

2019Financial stress dynamics in the MENA region: Evidence from the Arab Spring 2014Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis 2012Global and regional co-movement of the MENA stock markets 2011Are GCC stock markets predictable?2006Integration Between the Baltic and International Stock Markets

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.