Financial Integration of North Africa Stock Markets
AbstractThis paper investigates long-term relationship that links stock prices of three major North African stock markets: Egypt, Morocco, and Tunisia . The paper shows, there is strong evidence of multivariate and bivariate nonlinear long-term relationship between stock prices of these markets. Nonlinear cointegration between stock prices imply portfolios in these markets are inefficient (systematic risk cannot be diversified away), as movement in the price of one market influence the movement in another market in a predictable direction and disproportionately.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 14938.
Date of creation: 10 Apr 2009
Date of revision:
cointegration; portfolio; diversification; nonparametric;
Other versions of this item:
- Ibrahim Onour, . "Financial Integration of North Africa Stock Markets," API-Working Paper Series 0908, Arab Planning Institute - Kuwait, Information Center.
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-05-09 (All new papers)
- NEP-ARA-2009-05-09 (MENA - Middle East & North Africa)
- NEP-CWA-2009-05-09 (Central & Western Asia)
- NEP-FMK-2009-05-09 (Financial Markets)
- NEP-MAC-2009-05-09 (Macroeconomics)
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