 Dynamic linkages among equity markets in the Middle East and North African countriesYaser A. Alkulaib, Mohammad Najand and Ahmad Mashayekh Journal of Multinational Financial Management, 2009, vol. 19, issue 1, 43-53 Abstract: The relaxation of security laws and regulations in emerging markets in the Middle East and North Africa (MENA) provides abundant opportunities for foreign investors. These markets exhibit high-expected returns and substantial volatility. In this paper, we investigate the lead/lag relationship between the MENA countries and regions. We find no market causality or spillover from one country to another in the North Africa region. Our results for the Levant region reveal that there are linkages between stock markets in this region. The results for the Gulf Cooperation Council (GCC) region show that there is more interaction and linkage in the GCC region than in the North Africa and Levant regions. An unexpected result is that UAE's stock market leads all the markets in this region. Finally, we investigate linkages among the three regions. We find that GCC influences the other two regions. Keywords: Emerging; markets; MENA; capital; markets; State; space; models (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:19:y:2009:i:1:p:43-53 Access Statistics for this article Journal of Multinational Financial Management is currently edited by I. Mathur and G. G. Booth More articles in Journal of Multinational Financial Management from Elsevier |
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