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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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)
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.:
- Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 14(1), pages 3-26, February.
- Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 24(02), pages 241-256, June.
- François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 56(2), pages 649-676, 04.
- Mervyn A. King & Sushil Wadhwani, 1989.
"Transmission of Volatility Between Stock Markets,"
NBER Working Papers
2910, National Bureau of Economic Research, Inc.
- King, Mervyn A & Wadhwani, Sushil, 1990. "Transmission of Volatility between Stock Markets," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(1), pages 5-33.
- Bekaert, Geert & Harvey, Campbell R, 1995.
" Time-Varying World Market Integration,"
Journal of Finance, American Finance Association,
American Finance Association, vol. 50(2), pages 403-44, June.
- William Barnett & Apostolos Serletis, 2012.
"Martingales, Nonlinearity, And Chaos,"
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
201225, University of Kansas, Department of Economics, revised Sep 2012.
- Barnett, William A. & Serletis, Apostolos, 2000. "Martingales, nonlinearity, and chaos," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 24(5-7), pages 703-724, June.
- Breitung, Jörg, 1998.
"Rank tests for nonlinear cointegration,"
SFB 373 Discussion Papers
1998,65, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Breitung, Jorg, 2001. "Rank Tests for Nonlinear Cointegration," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 19(3), pages 331-40, July.
- Roberto Rigobon, 2001.
"Contagion: How to Measure It?,"
NBER Working Papers
8118, National Bureau of Economic Research, Inc.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990.
"Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?,"
Papers, Michigan State - Econometrics and Economic Theory
8905, Michigan State - Econometrics and Economic Theory.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, Elsevier, vol. 54(1-3), pages 159-178.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 979, Cowles Foundation for Research in Economics, Yale University.
- James G. MacKinnon & Alfred A. Haug & Leo Michelis, 1996.
"Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration,"
Working Papers, York University, Department of Economics
1996_07, York University, Department of Economics.
- MacKinnon, James G & Haug, Alfred A & Michelis, Leo, 1999. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 14(5), pages 563-77, Sept.-Oct.
- Mackinnon, J.G. & Haug, A.A. & Michelis, L., 1996. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," G.R.E.Q.A.M., Universite Aix-Marseille III 96a09, Universite Aix-Marseille III.
- Breitung, Jörg & Gouriéroux, Christian, 1996.
"Rank tests for unit roots,"
SFB 373 Discussion Papers
1996,9, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- repec:ebl:ecbull:v:3:y:2005:i:41:p:1-9 is not listed on IDEAS
- Schmidt, Peter & Phillips, C B Peter, 1992. "LM Tests for a Unit Root in the Presence of Deterministic Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 257-87, August.
- DeJong, David N, et al, 1992. "Integration versus Trend Stationarity in Time Series," Econometrica, Econometric Society, Econometric Society, vol. 60(2), pages 423-33, March.
- Tuluca, Sorin A & Zwick, Burton, 2001. "The Effects of the Asian Crisis on Global Equity Markets," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 36(1), pages 125-41, February.
- Tsangyao Chang & Chi-Wei Su & Hsiao-Ping Chu & Hsu-Ling Chang, 2005. "Does Rational Bubbles Exist in the Taiwan Stock Market? Evidence from a Nonparametric Cointegration Test," Economics Bulletin, AccessEcon, vol. 3(41), pages 1-9.
- Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993.
"Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests,"
Journal of Econometrics, Elsevier,
Elsevier, vol. 56(3), pages 269-290, April.
- Tom Doan, . "REGRESET: RATS procedure to perform Ramsey RESET test on regression," Statistical Software Components RTS00181, Boston College Department of Economics.
- Tom Doan, . "REGWHITENNTEST: RATS procedure to perform White neural network test on regression," Statistical Software Components RTS00183, Boston College Department of Economics.
- Abhyankar, A & Copeland, L S & Wong, W, 1997. "Uncovering Nonlinear Structure in Real-Time Stock-Market Indexes: The S&P 500, the DAX, the Nikkei 225, and the FTSE-100," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 15(1), pages 1-14, January.
- Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.