Dynamic relationships between Middle East stock markets
AbstractPurpose – The aim of this paper is to examine the dynamic relationships between Middle East stock markets. Design/methodology/approach – Daily data from the Egyptian (CMA) and Israeli Tel Aviv Stock Exchange (TASE-100) stock indices are considered. The paper employs a Bivariate cointegration GARCH(1,1) model to explain price discovery and lead-lag relationships for the period July 1997 – August 2007. Findings – Empirical results confirm that the Egyptian market plays a price discovery role, implying that CMA prices contain useful information about TASE-100 prices. CMA market is more informationally efficient than TASE-100 market. Further, CMA index reflects new information faster than TASE-100 index. Research limitations/implications – Future research should examine the dynamic relationships between Middle East stock markets using intraday (high frequency) data and recent dynamic (long memory) methods. Practical implications – The findings are helpful to financial managers and traders dealing with Middle East stock markets. Originality/value – The contribution of this paper is to provide evidence on the stock market dynamics and financial linkages between two Middle East emerging markets using recent daily data and a modern econometric model. To the best of the author's knowledge, no previous study has tested the dynamic relationships between daily prices of CMA and TASE-100.
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Bibliographic InfoArticle provided by Emerald Group Publishing in its journal International Journal of Islamic and Middle Eastern Finance and Management.
Volume (Year): 4 (2011)
Issue (Month): 3 (August)
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Web page: http://www.emeraldinsight.com
Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Aktham I. Maghyereh & Haitham A. Al-Zoubi, 2006. "Value-at-risk under extreme values: the relative performance in MENA emerging stock markets," International Journal of Managerial Finance, Emerald Group Publishing, vol. 2(2), pages 154-172, July.
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- Manolis G. Kavussanos & Ilias D. Visvikis & Panayotis D. Alexakis, 2008. "The Lead-Lag Relationship Between Cash and Stock Index Futures in a New Market," European Financial Management, European Financial Management Association, vol. 14(5), pages 1007-1025.
- Christos Floros, 2005. "Price Linkages Between the US, Japan and UK Stock Markets," Financial Markets and Portfolio Management, Springer, vol. 19(2), pages 169-178, August.
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
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