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Arab Stock Markets Integration: The Case Study of Agadir Agreement Countries

In: Financial Integration

Author

Listed:
  • Amir Armanious

    (Macquarie University)

Abstract

The Agadir Agreement has been reasonably successful, as it builds heavily on existing regional and bilateral initiatives since there is not a single Arab stock market, the main objective of this study is to examine the significance of stock markets integration among the four Agadir Agreement countries. Their interrelationships with five international markets, the United States, the European Economic and Monetary Union, the United Kingdom, Japan and the Gulf Cooperation Council countries are also examined. Testing the dependencies are studied using co-integration techniques: correlation matrix and variance decomposition for daily equity indices, returns and volatility between the Arab markets and other financial centers for the period from March 2002 till March 2012. The main conclusions of this empirical study show that the Agadir stock markets presented a moderate degree of integration before Agadir Agreement. Therefore, the negative correlation and returns among the Agadir member states after Agadir Agreement is mainly due to the global financial crisis as the negative correlation is higher between the Agadir members and other exchanges.

Suggested Citation

  • Amir Armanious, 2013. "Arab Stock Markets Integration: The Case Study of Agadir Agreement Countries," Financial and Monetary Policy Studies, in: Marga Peeters & Nidal Sabri & Wassim Shahin (ed.), Financial Integration, chapter 0, pages 119-137, Springer.
    • Handle: RePEc:spr:fimchp:978-3-642-35697-1_7
    DOI: 10.1007/978-3-642-35697-1_7
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