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On the Integration of Emerging Stock Markets in the Middle East

  • 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)

Registered author(s):

    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.

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    File URL: http://www.jed.or.kr/full-text/25-2/darrat.PDF
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    Article provided by Chung-Ang Unviersity, Department of Economics in its journal Journal Of Economic Development.

    Volume (Year): 25 (2000)
    Issue (Month): 2 (December)
    Pages: 119-129

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    Handle: RePEc:jed:journl:v:25:y:2000:i:2:p:119-129
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    1. 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.
    2. Peter C.B. Phillips, 1985. "Understanding Spurious Regressions in Econometrics," Cowles Foundation Discussion Papers 757, Cowles Foundation for Research in Economics, Yale University.
    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. Geert Bekaert & Campbell R. Harvey, 1995. "Emerging Equity Market Volatility," NBER Working Papers 5307, National Bureau of Economic Research, Inc.
    5. 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.
    6. Cheung, Yin-Wong & Lai, Kon S, 1993. "Finite-Sample Sizes of Johansen's Likelihood Ration Tests for Conintegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(3), pages 313-28, August.
    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. 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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