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Integration versus segmentation in Middle East North Africa equity market: Time variations and currency risk

Author

Listed:
  • Khaled Guesmi
  • Jean-Yves Moisseron
  • Frédéric Teulon

Abstract

This article investigates the dynamics of regional financial integration and its determinants in an international setting. We test a conditional version of the international capital asset pricing model (ICAPM) accounting for the deviations from purchasi

Suggested Citation

  • Khaled Guesmi & Jean-Yves Moisseron & Frédéric Teulon, 2014. "Integration versus segmentation in Middle East North Africa equity market: Time variations and currency risk," Working Papers 2014-293, Department of Research, Ipag Business School.
  • Handle: RePEc:ipg:wpaper:2014-293
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    References listed on IDEAS

    as
    1. Geert Bekaert & Campbell R. Harvey, 2000. "Foreign Speculators and Emerging Equity Markets," Journal of Finance, American Finance Association, vol. 55(2), pages 565-613, April.
    2. Utpal Bhattacharya & Hazem Daouk, 2002. "The World Price of Insider Trading," Journal of Finance, American Finance Association, vol. 57(1), pages 75-108, February.
    3. Gikas A. Hardouvelis & Dimitrios Malliaropulos & Richard Priestley, 2006. "EMU and European Stock Market Integration," The Journal of Business, University of Chicago Press, vol. 79(1), pages 365-392, January.
    4. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    5. Dumas, Bernard & Harvey, Campbell R. & Ruiz, Pierre, 2003. "Are correlations of stock returns justified by subsequent changes in national outputs?," Journal of International Money and Finance, Elsevier, vol. 22(6), pages 777-811, November.
    6. Bekaert, Geert & Harvey, Campbell R, 1995. " Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-444, June.
    7. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
    8. Adler, Michael & Qi, Rong, 2003. "Mexico's integration into the North American capital market," Emerging Markets Review, Elsevier, vol. 4(2), pages 91-120, June.
    9. Guesmi, Khaled & Nguyen, Duc Khuong, 2011. "How strong is the global integration of emerging market regions? An empirical assessment," Economic Modelling, Elsevier, vol. 28(6), pages 2517-2527.
    10. Geert Bekaert & Campbell R. Harvey (ed.), 2004. "Emerging Markets," Books, Edward Elgar Publishing, number 2836.
    11. Karolyi, G. Andrew & Stulz, Rene M., 2003. "Are financial assets priced locally or globally?," Handbook of the Economics of Finance,in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 16, pages 975-1020 Elsevier.
    12. Barr, David G. & Priestley, Richard, 2004. "Expected returns, risk and the integration of international bond markets," Journal of International Money and Finance, Elsevier, vol. 23(1), pages 71-97, February.
    13. John M. Griffin, 2002. "Are the Fama and French Factors Global or Country Specific?," Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 783-803.
    14. Nishiotis, George P., 2004. "Do Indirect Investment Barriers Contribute to Capital Market Segmentation?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(03), pages 613-630, September.
    15. Arouri, Mohamed El Hedi & Nguyen, Duc Khuong & Pukthuanthong, Kuntara, 2012. "An international CAPM for partially integrated markets: Theory and empirical evidence," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2473-2493.
    16. Tai, Chu-Sheng, 2007. "Market integration and contagion: Evidence from Asian emerging stock and foreign exchange markets," Emerging Markets Review, Elsevier, vol. 8(4), pages 264-283, December.
    Full references (including those not matched with items on IDEAS)

    Citations

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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. repec:bla:wireae:v:6:y:2017:i:3:p:n/a-n/a is not listed on IDEAS
    3. repec:ipg:wpaper:2014-604 is not listed on IDEAS
    4. repec:ipg:wpaper:2014-581 is not listed on IDEAS
    5. repec:ipg:wpaper:2014-576 is not listed on IDEAS
    6. repec:ipg:wpaper:2014-511 is not listed on IDEAS
    7. 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.
    8. repec:ipg:wpaper:2014-500 is not listed on IDEAS
    9. repec:ipg:wpaper:2014-531 is not listed on IDEAS
    10. repec:ipg:wpaper:2014-564 is not listed on IDEAS
    11. repec:ipg:wpaper:2014-505 is not listed on IDEAS
    12. repec:ipg:wpaper:2014-444 is not listed on IDEAS
    13. Bruce Hearn & Jenifer Piesse, 2015. "The Impact of Firm Size and Liquidity on the Cost of External Finance in Africa," South African Journal of Economics, Economic Society of South Africa, vol. 83(1), pages 1-22, March.
    14. repec:ipg:wpaper:2014-440 is not listed on IDEAS
    15. repec:ipg:wpaper:2014-394 is not listed on IDEAS
    16. repec:ipg:wpaper:2014-415 is not listed on IDEAS
    17. repec:ipg:wpaper:2014-475 is not listed on IDEAS
    18. Al Rahahleh, Naseem & Bhatti, M. Ishaq & Adeinat, Iman, 2017. "Tail dependence and information flow: Evidence from international equity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 474(C), pages 319-329.
    19. repec:ipg:wpaper:2014-451 is not listed on IDEAS
    20. repec:ipg:wpaper:2014-510 is not listed on IDEAS

    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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