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On the Integration of Emerging Stock Markets in the Middle East

Author

Listed:
  • Ali F. Darrat

    () (Department of Economics and Finance, Louisiana Tech University)

  • Khaled Elkhal

    () (Department of Economics and Finance, Louisiana Tech University)

  • Sam R. Hakim

    () (Energetix, Woodlans)

Abstract

Results from the Johansen-Juselius test suggest that the Middle East emerging stock markets are segmented globally, but appear highly integrated within the region. Moreover, the Gonzalo- Granger test, in conjunction with error-correction models, indicates that the market in Egypt is a dominant force driving other markets in the region. The apparent segmentation of the markets in the Middle East from the global market implies that these emerging markets provide international investors with potential diversification gains.

Suggested Citation

  • 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.
  • Handle: RePEc:jed:journl:v:25:y:2000:i:2:p:119-129
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    References listed on IDEAS

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    1. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
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    3. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
    4. Roger Perman, 1991. "Cointegration: An Introduction to the Literature," Journal of Economic Studies, Emerald Group Publishing, vol. 18(3), pages 3-30, September.
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    6. Stock, James H. & Watson, Mark W., 1989. "Interpreting the evidence on money-income causality," Journal of Econometrics, Elsevier, vol. 40(1), pages 161-181, January.
    7. Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
    8. Michael Bowe & Nikolaos Mylonidis, 1999. "Is the European Capital Market Ready for the Single Currency?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(1-2), pages 1-32.
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    Cited by:

    1. repec:pje:journl:article10ii is not listed on IDEAS
    2. Per-Ola Maneschiöld, 2006. "Integration Between the Baltic and International Stock Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 42(6), pages 25-45, December.
    3. Al Nasser, Omar M. & Hajilee, Massomeh, 2016. "Integration of emerging stock markets with global stock markets," Research in International Business and Finance, Elsevier, vol. 36(C), pages 1-12.
    4. Maghyereh, Aktham I. & Awartani, Basel & Hilu, Khalil Al, 2015. "Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 123-138.
    5. Mohamed El Hedi Arouri, 2010. "Time-varying characteristics of cross-market linkages with empirical application to Gulf stock markets," Managerial Finance, Emerald Group Publishing, vol. 36(1), pages 57-70, February.
    6. A. Khalifa & S. Hammoudeh & E. Otranto, 2012. "Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment," Working Paper CRENoS 201209, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    7. Marashdeh, Hazem, 2005. "Stock Market Integration in the MENA Region: An Application of the ARDL Bounds Testing Approach," Economics Working Papers wp05-27, School of Economics, University of Wollongong, NSW, Australia.
    8. repec:kap:empiri:v:45:y:2018:i:1:d:10.1007_s10663-016-9344-4 is not listed on IDEAS
    9. Edib Smolo & M. Kabir Hassan, 2011. "The potentials ofmusharakah mutanaqisah for Islamic housing finance," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing, vol. 4(3), pages 237-258, August.
    10. Christos Floros, 2011. "Dynamic relationships between Middle East stock markets," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing, vol. 4(3), pages 227-236, August.
    11. Smimou, Kamal & Karabegovic, Amela, 2010. "On the relationship between economic freedom and equity returns in the emerging markets: Evidence from the Middle East and North Africa (MENA) stock markets," Emerging Markets Review, Elsevier, vol. 11(2), pages 119-151, June.
    12. Marashdeh, Hazem & Wilson, E.J., 2005. "Structural Changes in the Middle East Stock Markets: The case of Israel and Arab Countries," Economics Working Papers wp05-22, School of Economics, University of Wollongong, NSW, Australia.
    13. Per-Ola Maneschiöld, 2006. "Integration Between the Baltic and International Stock Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 42(6), pages 25-45, December.
    14. Yu, Jung-Suk & Hassan, M. Kabir, 2008. "Global and regional integration of the Middle East and North African (MENA) stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 482-504, August.
    15. Ahmed, Walid M.A., 2008. "Cointegration and dynamic linkages of international stock markets: an emerging market perspective," MPRA Paper 26986, University Library of Munich, Germany.

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