Financial Integration of GCC Capital Markets:Evidence of Nonlinear Cointegration
AbstractThis 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 15187.
Date of creation: 01 Jan 2008
Date of revision:
Cointegration; nonlinear; unit roots;
Other versions of this item:
- Ibrahim A. Onour, 2009. "Financial integration of GCC capital markets: evidence of non-linear cointegration," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 1(3), pages 251-265.
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: 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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