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The relative influence of the East and the West on Middle Eastern emerging stock markets: an empirical investigation

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  • Richard Ajayi
  • Seyed Mehdian
  • Mark Perry

Abstract

This article examines the relative influence of the US, UK and Japan on Middle Eastern Emerging Markets (MEEMs). The empirical results, from maximum likelihood regressions, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models and Vector Autoregression (VAR) estimates, provide some support for a generally mild influence of the US, UK and Japan on the MEEMs, with the greatest influence coming from the US market and the least from Japan. The dynamics of the MEEMs are shown to be dominated primarily by their own price innovations. The findings further indicate that, although national responses to external shocks are generally heterogeneous, there are some similarities in the reactions to US, UK and Japanese market innovations, depending on the level of maturity of the stock markets in the MEEMs.

Suggested Citation

  • Richard Ajayi & Seyed Mehdian & Mark Perry, 2010. "The relative influence of the East and the West on Middle Eastern emerging stock markets: an empirical investigation," Applied Financial Economics, Taylor & Francis Journals, vol. 20(5), pages 407-415.
  • Handle: RePEc:taf:apfiec:v:20:y:2010:i:5:p:407-415
    DOI: 10.1080/09603100903427185
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    Cited by:

    1. Ovidiu Stoica & Mark J. Perry & Seyed Mehdian, 2015. "An Empirical Analysis of the Diffusion of Information across Stock Markets of Central and Eastern Europe," Prague Economic Papers, University of Economics, Prague, vol. 2015(2), pages 192-210.
    2. Awartani, Basel & Maghyereh, Aktham I. & Shiab, Mohammad Al, 2013. "Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 224-242.
    3. repec:spr:jqecon:v:16:y:2018:i:1:d:10.1007_s40953-016-0067-y is not listed on IDEAS
    4. A. Maghyereh & B. Awartani, 2012. "Return and volatility spillovers between Dubai financial market and Abu Dhabi Stock Exchange in the UAE," Applied Financial Economics, Taylor & Francis Journals, vol. 22(10), pages 837-848, May.

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