Modelling the linkage between North and Southern Mediterranean stock markets: does the Agadir agreement have any impact?

Adel Boubaker

International Journal of Business and Emerging Markets, 2014, vol. 6, issue 2, 99-120

Abstract: To enhance our understanding in the basin Mediterranean stock markets, the paper investigates the relationship between the countries signatories of the Agadir agreement, which are Morocco, Tunisia, Egypt and Jordan for Southern Mediterranean markets and France, Italy, Spain and Athens for Northern Mediterranean stock markets. We use the copula approach to model the linkages (dependence structure) between these markets. Our empirical results show that there is significant increase in the dependence between these markets after the Agadir agreement. However, Egypt and Morocco seem the first to react to this agreement and occupy the large share of trade with the Northern European markets. This framework permits us to quantify the potential impact on the relationship between financial markets of the Agadir agreement.

Keywords: copula approach; Agadir agreement; variance decomposition; cointegration; basin Mediterranean stock markets; Morocco; Tunisia; Egypt; Jordan; France; Italy; Spain; Greece; dependence structure; financial markets. (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=60478 (text/html)
Access to full text is restricted to subscribers.

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:ids:ijbema:v:6:y:2014:i:2:p:99-120

Access Statistics for this article

More articles in International Journal of Business and Emerging Markets from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().