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Regional Integration of Stock Markets in MENA Countries

Author

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  • Aktham Maghyereh

    (Aktham Maghyereh is Professor of Finance, College of Economics and Administrative Sciences, Hashemite University, Zarka, Jordan. maghyerh@hu.edu.jo)

Abstract

Using a trivariate vector autoregression model with a proper control for hetroscedasticity, this article empirically investigates the interdependence among the daily equity market returns for four major Middle Eastern and North African (MENA) emerging markets. The four equity markets studied are the Jordanian, Egyptian, Moroccan and Turkish markets. Evidence indicates that none of the MENA markets is completely isolated and independent. However, the results of the dynamic links indicate that the integration among these markets is still weak. The weakness of economic and financial ties between the MENA countries may explain this result.

Suggested Citation

  • Aktham Maghyereh, 2006. "Regional Integration of Stock Markets in MENA Countries," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 5(1), pages 59-94, April.
    • Handle: RePEc:sae:emffin:v:5:y:2006:i:1:p:59-94
    DOI: 10.1177/097265270500500103
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    References listed on IDEAS

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    Cited by:

    1. Mansourfar, Gholamreza & Mohamad, Shamsher & Hassan, Taufiq, 2010. "The behavior of MENA oil and non-oil producing countries in international portfolio optimization," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(4), pages 415-423, November.
    2. Bappaditya Mukhopadhyay, 2009. "Financial Market Integration," Review of Market Integration, India Development Foundation, vol. 1(1), pages 37-60, April.
    3. Tom JACOB & LITTLEFLOWER P. J, 2022. "Cointegration and stock market interdependence: Evidence from India and selected Asian and African stock markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(633), W), pages 133-146, Winter.
    4. Saif Siddiqui, 2009. "Stock Markets Integration: Examining Linkages between Selected World Markets," Vision, , vol. 13(1), pages 19-30, January.
    5. Anil Sharma & Neha Seth, 2012. "Literature review of stock market integration: a global perspective," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 4(1), pages 84-122, April.
    6. Aman Srivastava & Shikha Bhatia & Prashant Gupta, 2015. "Financial Crisis and Stock Market Integration: An Analysis of Select Economies," Global Business Review, International Management Institute, vol. 16(6), pages 1127-1142, December.

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    Keywords

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    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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