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Financial integration of GCC capital markets: evidence of non-linear cointegration

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  • Ibrahim A. Onour

Abstract

This paper employs a non-parametric test to investigate non-linearity 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 GCC stock markets. However, the Bahrain stock market is evidenced segmented from the group of GCC markets. It is indicated that there is bivariate non-linear cointegrating relationship linking the Kuwait stock market with each of Saudi and Dubai markets. Non-linearity is also realised between the Saudi market and each of the Dubai and Abu-Dhabi markets, as well as between the Muscat and the Kuwait stock markets.

Suggested Citation

  • 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.
  • Handle: RePEc:ids:afasfa:v:1:y:2009:i:3:p:251-265
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    References listed on IDEAS

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    1. King, Mervyn A & Wadhwani, Sushil, 1990. "Transmission of Volatility between Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 5-33.
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    7. 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, vol. 56(3), pages 269-290, April.
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    More about this item

    Keywords

    GCC capital markets; nonlinear cointegration; long-run equilibrium relationship; stock market returns; Gulf Cooperation Council; Bahrain; Abu Dhabi; Kuwait; Saudi Arabia; Dubai; Muscat.;

    JEL classification:

    • 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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