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Financial Integration of GCC Capital Markets:Evidence of Nonlinear Cointegration

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  • Onour, Ibrahim

Abstract

This paper employs a nonparametric test to investigate nonlinearity in the long-run equilibrium relationship between GCC stock markets returns. The results in the paper show strong evidence of bivariate and multivariate cointegration between five of GCC stock markets. However, Bahrain stock market is evidenced segmented from the group of GCC markets. It is indicated that there is bivariate nonlinear cointegrating relationship linking Kuwait stock market with each of Saudi, and Dubai markets. Nonlinearity also realized between Saudi market and each of Dubai and Abu-Dhabi markets, as well as between Muscat and Kuwait stock markets.

Suggested Citation

  • Onour, Ibrahim, 2008. "Financial Integration of GCC Capital Markets:Evidence of Nonlinear Cointegration," MPRA Paper 15187, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:15187
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    References listed on IDEAS

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    Cited by:

    1. Kapar, Burcu & Olmo, Jose & Ghalayini, Rim, 2020. "Financial integration in the United Arab Emirates Stock Markets," Finance Research Letters, Elsevier, vol. 33(C).

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    More about this item

    Keywords

    Cointegration; nonlinear; unit roots;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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