Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing
AbstractThe integration and development of financial markets is an important issue because it can result in economic growth via increasing exchange and more efficient allocation of scarce resources. It is also important for defining and conducting appropriate policies to counteract adverse spill-over effects across markets. The main goal of this paper is to assess the degree of integration or segmentation of the UAE stock market with the USA market by conducting new causality tests developed by Hatemi-J (forthcoming) that separate the effect of positive shocks from the negative ones. The empirical results based on standard symmetric causality tests indicate that the UAE market is segmented from the USA market. However, when the asymmetric causality tests are implemented the results reveal clearly that the UAE market is indeed integrated with the USA market. These results show, in addition, that the degree of integration is stronger when the markets are falling than rising.
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Bibliographic InfoArticle provided by Elsevier in its journal Research in International Business and Finance.
Volume (Year): 26 (2012)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/locate/ribaf
Financial market integration; Asymmetric causality test; The USA; The UAE;
Find related papers by JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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