New empirical evidence from assessing financial market integration, with application to Saudi Arabia

Jamel Jouini ()

Economic Modelling, 2015, vol. 49, issue C, 198-211

Abstract: We examine whether data frequency, day of the week and econometric methodology matter in analyzing financial market integration. As case study, we investigate equity market comovements between Saudi Arabia and a set of international economies. Our findings take the literature forward and indicate that cross-market linkages are weak and subsample-dependent regardless of whether data are daily, weekly (whatever the weekday) or monthly and whatever the econometric approach. The results are relevant for investors who want to be more informed of promising investment opportunities, and for financial makers to take necessary policies to hedge against the effects of shocks.

Keywords: Financial integration; Time-varying correlation; Spillover index; Data frequency; Saudi Arabia (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S026499931500111X
Full text for ScienceDirect subscribers only

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:eee:ecmode:v:49:y:2015:i:c:p:198-211

DOI: 10.1016/j.econmod.2015.04.010

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().