Abstract
This paper examines the short‐ and long‐run linkages in pre and post global financial crisis among Middle East and North Africa (MENA) stock markets, between MENA and Chinese stock markets and also between MENA and developed (United States and United Kingdom) stock markets. Results indicate that both long‐run co‐integration relationships and short‐run causal linkages among MENA stock markets increased in post‐crisis than that in pre‐crisis sub‐period. The degree of integration between MENA and Chinese stock markets increased in post‐crisis than pre‐crisis. We also find that the degree of integration between MENA and developed (United States and United Kingdom) stock markets increased in post‐crisis than that in pre‐crisis. The presence of increased linkages among MENA markets, and between MENA and Chinese stock markets and also between MENA and developed (United States and United Kingdom) markets has important implications for portfolio investors and policy makers.
Original language | English |
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Pages (from-to) | 107-141 |
Number of pages | 35 |
Journal | Australian Economic Papers |
Volume | 57 |
Issue number | 2 |
DOIs | |
Publication status | Published - 2018 |
Keywords
- Global Financial Crisis, 2008-2009
- World Bank. Middle East and North Africa Region
- stock exchanges