Stock Market Integration in the MENA Region: An Application of the ARDL Bounds Testing Approach

Hazem A. Marashdeh

54 citations0/0 files storedRePEc: Research Papers in Economics

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Abstract

This study examines financial integration among four emerging stock markets in the Middle East and North African (MENA) region. The study also examines the integration between these markets and developed markets represented by the US, UK and Germany. The study utilizes the newly proposed autoregressive distributed lag (ARDL) approach to cointegration. The results show evidence of the existence of integration among stock markets in the MENA region, but not between the MENA markets and developed markets. This provides opportunities for international investors to obtain long-run gains through portfolio diversification in the MENA region, while for regional investors, these opportunities are limited in the long run.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 2001Bounds testing approaches to the analysis of level relationships 1988Statistical analysis of cointegration vectors 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 2012An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis 1998Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework 1992THE POWER OF COINTEGRATION TESTS 1997The Role of Economic Theory in Modelling The Long Run

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