Dynamic relationships between Middle East stock markets
Purpose - The aim of this paper is to examine the dynamic relationships between Middle East stock markets. Design/methodology/approach - Daily data from the Egyptian (CMA) and Israeli Tel Aviv Stock Exchange (TASE-100) stock indices are considered. The paper employs a Bivariate cointegration GARCH(1,1) model to explain price discovery and lead-lag relationships for the period July 1997 – August 2007. Findings - Empirical results confirm that the Egyptian market plays a price discovery role, implying that CMA prices contain useful information about TASE-100 prices. CMA market is more informationally efficient than TASE-100 market. Further, CMA index reflects new information faster than TASE-100 index. Research limitations/implications - Future research should examine the dynamic relationships between Middle East stock markets using intraday (high frequency) data and recent dynamic (long memory) methods. Practical implications - The findings are helpful to financial managers and traders dealing with Middle East stock markets. Originality/value - The contribution of this paper is to provide evidence on the stock market dynamics and financial linkages between two Middle East emerging markets using recent daily data and a modern econometric model. To the best of the author's knowledge, no previous study has tested the dynamic relationships between daily prices of CMA and TASE-100.
If 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 4 (2011)
Issue (Month): 3 (August)
|Contact details of provider:|| Web page: http://www.emeraldinsight.com|
|Order Information:|| Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK|
Web: http://emeraldgrouppublishing.com/products/journals/journals.htm?id=imefm Email:
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.:
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
- Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
- Manolis G. Kavussanos & Ilias D. Visvikis & Panayotis D. Alexakis, 2008. "The Lead-Lag Relationship Between Cash and Stock Index Futures in a New Market," European Financial Management, European Financial Management Association, vol. 14(5), pages 1007-1025.
- Abul Masih & Rumi Masih, 1997. "A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages," Applied Financial Economics, Taylor & Francis Journals, vol. 7(1), pages 59-74.
- Aktham I. Maghyereh & Haitham A. Al-Zoubi, 2006. "Value-at-risk under extreme values: the relative performance in MENA emerging stock markets," International Journal of Managerial Finance, Emerald Group Publishing, vol. 2(2), pages 154-172, July.
- Christos Floros, 2005. "Price Linkages Between the US, Japan and UK Stock Markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(2), pages 169-178, August.
- Ali F. Darrat & Khaled Elkhal & Sam R. Hakim, 2000. "On the Integration of Emerging Stock Markets in the Middle East," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 25(2), pages 119-129, December.
- Taylor, Mark P & Tonks, Ian, 1989. "The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control," The Review of Economics and Statistics, MIT Press, vol. 71(2), pages 332-336, May.
- Haque Mahfuzul & Hassan M. Kabir & Maroney Neal C & Sackley William H, 2004. "An Empirical Examination of Stability, Predictability, and Volatility of Middle Eastern and African Emerging Stock Markets," Review of Middle East Economics and Finance, De Gruyter, vol. 2(1), pages 18-41, April.
When requesting a correction, please mention this item's handle: RePEc:eme:imefpp:v:4:y:2011:i:3:p:227-236. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Virginia Chapman)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.