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The determinants of regional stock market integration in Middle East: A Conditional ICAPM Approach

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  • Khaled Guesmi
  • Frédéric Teulon

Abstract

Over recent years, several emerging market regions have actively taken part in globalisation movements and world market integration. However, the financial integration processes appear to vary over time, and differ considerably from one region to another.

Suggested Citation

  • Khaled Guesmi & Frédéric Teulon, 2014. "The determinants of regional stock market integration in Middle East: A Conditional ICAPM Approach," Working Papers 2014-214, Department of Research, Ipag Business School.
  • Handle: RePEc:ipg:wpaper:2014-214
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    References listed on IDEAS

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    Cited by:

    1. Guesmi, Khaled & Teulon, Frederic & Muzaffar, Ahmed Taneem, 2014. "The evolution of risk premium as a measure for intra-regional equity market integration," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 13-19.
    2. Guesmi, Khaled & Kablan, Sandrine & Belgacem, Aymen, 2015. "The regional pricing of risk: An empirical investigation of the MENA equity determinants," MPRA Paper 70271, University Library of Munich, Germany, revised 2015.

    More about this item

    Keywords

    Multivariate GARCH; Intra-regional integration; CAPM (Capital Asset Pricing Model);

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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