Global Financial Integration and the MENA Countries: Evidence from Equity and Money Markets

Abdol Soofi

Review of Middle East Economics and Finance, 2008, vol. 4, issue 2, 93-116

Abstract: This study measures the degree of financial integration between Egypt, Jordan, Lebanon, Tunisia, and Turkey on the one hand and the United States and United Kingdom on the other hand. Using cointegration, error correction, and Granger causality tests I find that only the Turkish equity market is cointegrated with both S&P and FTSE stock markets.I also find evidence of cointegration between Tunisian and British money markets. The speed of adjustment for the cointegrating markets seems to be sluggish. I observe evidence that S&P may Granger cause the stock markets in Tunisia (marginally), Turkey, and the United Kingdom. Also, I find evidence that FTSE may Granger cause the stock series in Jordan (marginally) and Turkey. I find evidence that the US interest rate may Granger cause the interest rate series used for Tunisia and the United Kingdom. Furthermore, the UK's interest rate may Granger cause the Tunisian interest rate.Accordingly, I conclude that a limited financial integration of the countries under study with the Western financial markets; however, Turkey and Tunisia seem to have stronger connections and financial integration with American and British financial markets.

Keywords: financial integration; cointegration; Granger causality (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://doi.org/10.2202/1475-3693.1102 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:rmeecf:v:4:y:2008:i:2:n:4

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/rmeef/html

DOI: 10.2202/1475-3693.1102

Access Statistics for this article

Review of Middle East Economics and Finance is currently edited by Ghassan Dibeh

More articles in Review of Middle East Economics and Finance from De Gruyter
Bibliographic data for series maintained by Peter Golla ().