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Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing

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  • Hatemi-J, Abdulnasser

Abstract

The 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 Info

Article provided by Elsevier in its journal Research in International Business and Finance.

Volume (Year): 26 (2012)
Issue (Month): 2 ()
Pages: 273-280

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Handle: RePEc:eee:riibaf:v:26:y:2012:i:2:p:273-280

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Web page: http://www.elsevier.com/locate/ribaf

Related research

Keywords: Financial market integration; Asymmetric causality test; The USA; The UAE;

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References

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Cited by:
  1. Donadelli, Michael & Persha, Lauren, 2014. "Understanding emerging market equity risk premia: Industries, governance and macroeconomic policy uncertainty," Research in International Business and Finance, Elsevier, vol. 30(C), pages 284-309.

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