Time-Varying Integration of MENA Stock Markets

Somar Al-Mohamed, Nasser Elkanj and Partha Gangopadhyay

International Journal of Development and Conflict, 2018, vol. 8, issue 2, 85-114

Abstract: This paper examines the time-varying financial integration in the Middle East and North Africa (MENA) countries: Bahrain, Egypt, Jordan, Kuwait, Lebanon, Morocco, Oman, Qatar, Saudi Arabia, Tunisia and the United Arab Emirates (UAE) in pre and post-crisis sub-periods. The paper apply Bekaert and Harvey (1995) International Capital Asset Pricing Model (ICAPM) with regime switching mechanism, including both, constant and time-varying transition probabilities. The results indicates that stock markets of Egypt, Jordan Morocco and UAE appear to be integrated to world stock market; while the stock market of Bahrain, Kuwait, Lebanon, Oman, Qatar, Saudi Arabia and Tunisia appear to be segmented from world stock market. In general, the stock markets in MENA region exhibit a variation in their degree of integration with world stock market except for Lebanon and Qatar.

Keywords: Time varying financial integration; International capital asset pricing model; DCCGARCH (search for similar items in EconPapers)
Date: 2018
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