scholarly journals Integration In Middle East Stock Markets: Determinants, Effects And Evolutions

2013 ◽  
Vol 29 (5) ◽  
pp. 1301 ◽  
Author(s):  
Khaled Guesmi ◽  
Mohamed Hedi Arouri ◽  
Jean-Yves Moisseron ◽  
Frederic Teulon
Keyword(s):  
Middle East ◽  
Stock Market ◽  
Stock Markets ◽  
Market Integration ◽  
Empirical Work ◽  
Stock Market Integration ◽  
Emerging Stock Markets ◽  
East Region ◽  
Local Risk ◽  
Middle East Region

This article investigates the stock market integration within the Middle East region. We develop a regional dynamic version of the CAPM and estimate it using a multivariate GARCH methodology. We contribute to the financial literature by proposing the first empirical work that addresses the following three questions for emerging stock markets from Middle East region: (i) What factors determine Middle East regional stock market integration? (ii) Is exchange rate risk priced in Middle East emerging stock markets? And (iii) what are the relative contributions of regional and local risk factors to the total risk premium in Middle East emerging stock markets?

An empirical analysis of stock market interdependence and volatility spillover in the stock markets of Africa and Middle East region

2019 ◽  
Vol 10 (3) ◽  
pp. 314-335 ◽  
Author(s):  
Ajaya Kumar Panda ◽  
Swagatika Nanda ◽  
Rashmi Ranjan Paital
Keyword(s):  
Middle East ◽  
Stock Market ◽  
Stock Markets ◽  
Volatility Spillover ◽  
Causality Test ◽  
Content Type ◽  
East Region ◽  
Long Run ◽  
International Investors ◽  
Middle East Region

Purpose The purpose of this paper is to examine the short-term and long-term interdependence among the stock markets of Africa and Middle East region. It also attempts to analyze the pattern of volatility spillover among the regional stock markets. Design/methodology/approach The study has used Granger causality test, variance decomposition test of vector auto-regression (VAR) model, vector error correction model (VECM), multivariate generalized conditional heteroskedasticity (MGARCH-BEKK) models and Johansen and Juselius multivariate cointegration techniques. Findings The study finds that the interlinkages of the stock markets are not uniform across all the countries of the region. The stock market of Israel, South Africa and Jordan are found to be highly connected stock market of the region followed by Egypt and Botswana. The study also finds significant spillover of lagged standardized volatility across the stock markets of the region. But the magnitude of the response of volatility spillover and its persistence is very minimum. However, the stock markets are found to be co-integrated and expected to share long-run equilibrium relationships among each other. Research limitations/implications The study has the scope to be extended to capture the time-varying integration of market returns with transmission of monetary policy and exchange rate changes within the region. The results obtained from this study may assist the firm managers and international investors to understand the key drivers of market connectedness. Originality/value Empirically investigating the pattern of stock market connectedness in Africa and Middle East region with advanced methodology over a long study period is the originality of this study.

Through the Lens of Recession 2.0: Diversification Dynamics Between the Leading Asian Stock Markets

2021 ◽  
pp. 097226292098395
Author(s):  
Manu K. S. ◽  
Surekha Nayak ◽  
Rameesha Kalra
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Market Integration ◽  
Developing Economies ◽  
Positive Impact ◽  
Global Market ◽  
Stock Market Integration ◽  
Developed Economies ◽  
Market Participants ◽  
Causality Tests

The focus of this article is to analyse the inter-linkages between eight leading stock markets in Asian continent from the period of July 2011 to February 2018. This period holds relevance as this was the time when Recession 2.0 set in, which adversely affected the developed economies; however, the developing economies withstood the crisis without much of an impact. Co-integration and Granger causality tests were conducted to probe the inter-linkages. Study revealed a positive impact on Asian stock market indices collectively on each of the indexes. The highest number of unidirectional causalities was to KOPSI and NIFTY from rest of the stock indices. Results confirmed that no co-integration relationship existed among the selected indices indicating favourable diversification opportunities. Thus, the study fosters global market participants and policymakers to consider the nitty-gritties of stock market integration so as to benefit from international stock market diversification in the Asian region.

scholarly journals Investigation of Stock Market Integration in the Baltic Countries

2016 ◽  
Vol 28 (1) ◽  
pp. 38-44 ◽  
Author(s):  
Vilma Deltuvaitė
Keyword(s):  
Stock Market ◽  
Regional Integration ◽  
Stock Markets ◽  
Market Integration ◽  
Scientific Literature ◽  
Rapid Development ◽  
Response Analysis ◽  
Stock Market Integration ◽  
Baltic Countries ◽  
The Baltic

Abstract Recent rapid development of the Baltic stock markets raises the question about stock market integration level in these countries. Some empirical aspects of the Baltic stock market integration have been analysed in the scientific literature, however, a comprehensive analysis on the Baltic stock market integration level is still missing. The aim of the paper is to assess the regional integration level of the Baltic stock markets. The research object is stock markets in the Baltic countries. The following research and statistical methods have been applied in this study: the systemic and comparative analysis of the scientific literature, Spearman’s correlation coefficient, dynamic conditional correlation generalized autoregressive conditional heteroskedasticity model, Granger causality test, generalized impulse response analysis, Johansen cointegration test, autoregressive distributed lag model and error correction model. The main findings of this empirical study are (a) all three Baltic stock markets are closely related markets, (b) however, the Latvian stock market is more isolated at the regional level comparing to other two Baltic stock markets (c) whereas Estonian and Lithuanian stock markets are more interrelated.

scholarly journals Stock Market Integration of Pakistan with Its Trading Partners: A Multivariate DCC-GARCH Model Approach

2019 ◽  
Vol 11 (2) ◽  
pp. 303 ◽  
Author(s):  
Ahmed Shafique Joyo ◽  
Lin Lefen
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Markets ◽  
Market Integration ◽  
Global Financial Crisis ◽  
The United States ◽  
Positive Sign ◽  
Stock Market Integration ◽  
Trading Partners ◽  
T Distribution

A decade after the global financial crisis, the developments in stock market integration have increased the stability and liquidity of markets, and decreased the diversification benefits for investors. International trade is an important determinant of stock market interdependence. The objective of this study is to analyze the co-movements and the portfolio diversification between the stock markets of Pakistan and its top trading partners, namely China, Indonesia, Malaysia, the United Kingdom, and the United States. We employed Dynamic Conditional Covariance (DCC)-Generalized Autoregressive Conditional Heteroscedasticity (GARCH) methodology with student t-distribution to examine time-varying correlation and volatilities of stock markets of Pakistan and its trading partners. We used Morgan Stanley capital international (MSCI) daily returns data of developed and emerging markets for the period 2005 to 2018. The results of the study highlighted that stock markets of Pakistan and its trading partners were closely integrated during the financial crisis of 2008, while the integration among stock markets decreased substantially after the period of financial crises. Furthermore, the results showed the slow decay process. Therefore, it is a positive sign for the Pakistani and international investors to diversify their portfolio among the stock markets of Pakistan and its trading partners.

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