Dynamic linkages among equity markets in the Middle East and North African countries

被引:26
作者
Alkulaib, Yaser A. [1 ]
Najand, Mohammad [2 ]
Mashayekh, Ahmad [3 ]
机构
[1] Kuwait Univ, Coll Business Adm, Dept Finance & Financial Inst, Safat 13055, Kuwait
[2] Old Domin Univ, Coll Business Publ Adm, Dept Finance, Norfolk, VA 23529 USA
[3] Training Human Training, Norfolk, VA 23508 USA
关键词
Emerging markets; MENA capital markets; State space models;
D O I
10.1016/j.mulfin.2008.03.002
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
The relaxation of security laws and regulations in emerging markets in the Middle East and North Africa (MENA) provides abundant opportunities for foreign investors. These markets exhibit high-expected returns and substantial volatility. In this paper, we investigate the lead/lag relationship between the MENA countries and regions. Wefindnomarket causality or spillover fromone country to another in the North Africa region. Our results for the Levant region reveal that there are linkages between stock markets in this region. The results for the Gulf Cooperation Council (GCC) region show that there is more interaction and linkage in the GCC region than in the North Africa and Levant regions. An unexpected result is that UAE's stock market leads all the markets in this region. Finally, we investigate linkages among the three regions. We find that GCC influences the other two regions. (C) 2008 Elsevier B.V. All rights reserved.
引用
收藏
页码:43 / 53
页数:11
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