Structural Changes in the Middle East Stock Markets: The case of Israel and Arab Countries

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Structural Changes in the Middle East Stock Markets: The case of Israel and Arab Countries

Author Info

Marashdeh, Hazem () (University of Wollongong)
Wilson, E.J. () (University of Wollongong)

Abstract

This paper tests for structural changes in the price indices of four stock markets in the Middle East region, namely, Egypt, Turkey Jordan, Morocco and Israel. The Innovational Outlier (IO) model and Additive Outlier (AO) model indicate that all variables show evidence of non-stationarity, I(1), even with structural change. Moreover, the coefficients for all dummy variables such as intercept, slope and time of the break are found to be significant and all have the right signs. The endogenously determined times of the breaks for all variables coincides with observed real events for each country, like Asian crises, fluctuation in oil prices and the political conflict in the Middle East.

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Publisher Info
Paper provided by School of Economics, University of Wollongong, NSW, Australia in its series Economics Working Papers with number wp05-22.

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Length: 13 pages
Date of creation: 2005
Date of revision:
Handle: RePEc:uow:depec1:wp05-22

Contact details of provider:
Postal: School of Economics, University of Wollongong, Northfields Avenue, Wollongong NSW 2522 Australia
Phone: +612 4221-3663
Fax: +612 4221-3725
Web page: http://www.uow.edu.au/commerce/econ/
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For technical questions regarding this item, or to correct its listing, contact: (Ed Wilson).

This paper has been announced in the following NEP Reports:

NEP-ALL-2006-03-11 (All new papers)
NEP-CWA-2006-03-11 (Central & Western Asia)
NEP-FMK-2006-03-11 (Financial Markets)

References listed on IDEAS
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