Price linkages between the GCC stock markets: a bounds test using an Auto Regressive-Distributed Lag model

Abraham Abraham and Haider Madani

International Journal of Monetary Economics and Finance, 2012, vol. 5, issue 1, 87-98

Abstract: This paper examined the linkages between the equity markets in the Gulf Cooperation Council's (GCC) region. Specifically, we applied a bounded test using an Auto Regressive-Distributed Lag (ARDL) model to determine if the markets are co-integrated. In contrast to traditional co-integration analysis, the ARDL procedure does not require the prior determination of the order of integration of the variables. The co-integration tests showed that the GCC markets are segmented. However, the subset of the markets comprising the oil and gas economies of Saudi Arabia, Kuwait and Qatar, along with Oman and Dubai share a common trend.

Keywords: stock market linkages; GCC emerging markets; ARDL model; Gulf Cooperation Council; equity markets; co-integration tests; oil and gas economies; Saudi Arabia; Kuwait; Qatar; Oman; Dubai; common trends. (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijmefi:v:5:y:2012:i:1:p:87-98

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