This paper employs a nonparametric test to investigate nonlinearity in the long-run equilibrium relationship between GCC stock markets returns. The results in the paper show strong evidence of bivariate and multivariate cointegration between five of GCC stock markets. However, Bahrain stock market is evidenced segmented from the group of GCC markets. It is indicated that there is bivariate nonlinear cointegrating relationship linking Kuwait stock market with each of Saudi, and Dubai markets. Nonlinearity also realized between Saudi market and each of Dubai and Abu-Dhabi markets, as well as between Muscat and Kuwait stock markets.
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number
15187.
Find related papers by JEL classification: C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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References listed on IDEAS 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.:
Roberto Rigobon, 2002.
"Contagion: How to Measure It?,"
NBER Chapters,
in: Preventing Currency Crises in Emerging Markets, pages 269-334
National Bureau of Economic Research, Inc.
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