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Further evidence on Middle East and North Africa financial markets integration

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  • Walid Bakry
  • Somar Almohamad

Abstract

This paper provides further evidence on financial integration among MENA and developed the US stock markets between 2000 and 2015. This paper employs Zivot and Andrews (1992) and Bai and Perron (2003) methods to test for single and multiple structural breaks in MENA markets, respectively, along with the autoregressive distributed lag (ARDL) and Granger causality techniques to examine the dynamic interaction among the aforementioned stock markets in both long and short-run. Results find that, in general, the Global Financial Crisis (GFC) to be the most significant event leading to structural change in almost all the MENA markets. Furthermore, MENA countries are cointegrated among each other, and with US stock market. Financial markets in the MENA region are not isolated from global events and global shocks such as the GFC and the European debt crisis are found to have at least the same impact as local and regional events on the financial systems in MENA countries.

Suggested Citation

  • Walid Bakry & Somar Almohamad, 2018. "Further evidence on Middle East and North Africa financial markets integration," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 15(1), pages 1-22.
    • Handle: RePEc:ids:ijecbr:v:15:y:2018:i:1:p:1-22
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    Cited by:

    1. T.G. Saji, 2022. "Stock market linkages in Asia. Revisiting Granger causality evidences," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(632), A), pages 151-168, Autumn.

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