 Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testingResearch in International Business and Finance, 2012, vol. 26, issue 2, 273-280 Abstract: The integration and development of financial markets is an important issue because it can result in economic growth via increasing exchange and more efficient allocation of scarce resources. It is also important for defining and conducting appropriate policies to counteract adverse spill-over effects across markets. The main goal of this paper is to assess the degree of integration or segmentation of the UAE stock market with the USA market by conducting new causality tests developed by Hatemi-J (forthcoming) that separate the effect of positive shocks from the negative ones. The empirical results based on standard symmetric causality tests indicate that the UAE market is segmented from the USA market. However, when the asymmetric causality tests are implemented the results reveal clearly that the UAE market is indeed integrated with the USA market. These results show, in addition, that the degree of integration is stronger when the markets are falling than rising. Keywords: Financial market integration; Asymmetric causality test, The USA; The UAE (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:riibaf:v:26:y:2012:i:2:p:273-280 DOI: 10.1016/j.ribaf.2012.01.002 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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