Time-varying integration of mena stock markets

Somar Al-Mohamed; Nasser Elkanj; Partha Gangopadhyay

Time-varying integration of mena stock markets

Somar Al-Mohamed
, Nasser Elkanj
, Partha Gangopadhyay

Research output: Contribution to journal › Article › peer-review

4 Citations (Scopus)

3 Downloads (Pure)

Abstract

This paper examines the time-varying financial integration in the Middle East and North Africa (MENA) countries: Bahrain, Egypt, Jordan, Kuwait, Lebanon, Morocco, Oman, Qatar, Saudi Arabia, Tunisia and the United Arab Emirates (UAE) in pre and post-crisis sub-periods. The paper apply Bekaert and Harvey (1995) International Capital Asset Pricing Model (ICAPM) with regime switching mechanism, including both, constant and time-varying transition probabilities. The results indicates that stock markets of Egypt, Jordan Morocco and UAE appear to be integrated to world stock market; while the stock market of Bahrain, Kuwait, Lebanon, Oman, Qatar, Saudi Arabia and Tunisia appear to be segmented from world stock market. In general, the stock markets in MENA region exhibit a variation in their degree of integration with world stock market except for Lebanon and Qatar.

Original language	English
Pages (from-to)	85-114
Number of pages	30
Journal	International Journal of Development and Conflict
Volume	8
Issue number	2
Publication status	Published - 2018

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This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 17 Partnerships for the Goals

Keywords

Africa, North
Middle East
capital assets pricing model
finance
marketing
stocks

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Time-varying_open access

Cite this

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title = "Time-varying integration of mena stock markets",

abstract = "This paper examines the time-varying financial integration in the Middle East and North Africa (MENA) countries: Bahrain, Egypt, Jordan, Kuwait, Lebanon, Morocco, Oman, Qatar, Saudi Arabia, Tunisia and the United Arab Emirates (UAE) in pre and post-crisis sub-periods. The paper apply Bekaert and Harvey (1995) International Capital Asset Pricing Model (ICAPM) with regime switching mechanism, including both, constant and time-varying transition probabilities. The results indicates that stock markets of Egypt, Jordan Morocco and UAE appear to be integrated to world stock market; while the stock market of Bahrain, Kuwait, Lebanon, Oman, Qatar, Saudi Arabia and Tunisia appear to be segmented from world stock market. In general, the stock markets in MENA region exhibit a variation in their degree of integration with world stock market except for Lebanon and Qatar.",

keywords = "Africa, North, Middle East, capital assets pricing model, finance, marketing, stocks",

author = "Somar Al-Mohamed and Nasser Elkanj and Partha Gangopadhyay",

year = "2018",

language = "English",

volume = "8",

pages = "85--114",

journal = "International Journal of Development and Conflict",

issn = "2010-2690",

publisher = "World Scientific Publishing",

number = "2",

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TY - JOUR

T1 - Time-varying integration of mena stock markets

AU - Al-Mohamed, Somar

AU - Elkanj, Nasser

AU - Gangopadhyay, Partha

PY - 2018

Y1 - 2018

N2 - This paper examines the time-varying financial integration in the Middle East and North Africa (MENA) countries: Bahrain, Egypt, Jordan, Kuwait, Lebanon, Morocco, Oman, Qatar, Saudi Arabia, Tunisia and the United Arab Emirates (UAE) in pre and post-crisis sub-periods. The paper apply Bekaert and Harvey (1995) International Capital Asset Pricing Model (ICAPM) with regime switching mechanism, including both, constant and time-varying transition probabilities. The results indicates that stock markets of Egypt, Jordan Morocco and UAE appear to be integrated to world stock market; while the stock market of Bahrain, Kuwait, Lebanon, Oman, Qatar, Saudi Arabia and Tunisia appear to be segmented from world stock market. In general, the stock markets in MENA region exhibit a variation in their degree of integration with world stock market except for Lebanon and Qatar.

AB - This paper examines the time-varying financial integration in the Middle East and North Africa (MENA) countries: Bahrain, Egypt, Jordan, Kuwait, Lebanon, Morocco, Oman, Qatar, Saudi Arabia, Tunisia and the United Arab Emirates (UAE) in pre and post-crisis sub-periods. The paper apply Bekaert and Harvey (1995) International Capital Asset Pricing Model (ICAPM) with regime switching mechanism, including both, constant and time-varying transition probabilities. The results indicates that stock markets of Egypt, Jordan Morocco and UAE appear to be integrated to world stock market; while the stock market of Bahrain, Kuwait, Lebanon, Oman, Qatar, Saudi Arabia and Tunisia appear to be segmented from world stock market. In general, the stock markets in MENA region exhibit a variation in their degree of integration with world stock market except for Lebanon and Qatar.

KW - Africa, North

KW - Middle East

KW - capital assets pricing model

KW - finance

KW - marketing

KW - stocks

UR - http://handle.westernsydney.edu.au:8081/1959.7/uws:52183

UR - http://www.ijdc.org.in/uploads/1/7/5/7/17570463/paper_4.pdf

M3 - Article

SN - 2010-2690

VL - 8

SP - 85

EP - 114

JO - International Journal of Development and Conflict

JF - International Journal of Development and Conflict

IS - 2

ER -

Time-varying integration of mena stock markets

Abstract

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Keywords

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