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Integration of Financial Markets: A Study of Egypt and Palestine Stock Markets

Abdul Razak Abdul Hadi (), Shadi Hamad and Eddy Yap Tat Hiung

Applied Finance and Accounting, 2017, vol. 3, issue 1, 1-10

Abstract: The objective of this study is to determine the existence of equilibrium and dynamic relations between Egyptian Stock Exchange (EGX) and Palestine Stock Exchange (PEX). Utilising the framework of international trade theories, this paper employs the Engle-Granger Co-integration (1987) procedure as an estimation model on monthly time series data from February 1998 to April 2012. Results indicate that there is a significant equilibrium nexus between EGX and PEX but no empirical evidence was found on the existence of dynamic relations between them via Granger Causality tests. However, analysis of dynamic interactions of the post-sample period by means of Impulse-Response Functions and Variance Decomposition indicate sensitivity in EGX towards changes in PEX.

Keywords: PEX; EGX; co-integration procedure; granger causality; stock market (search for similar items in EconPapers)
Date: 2017
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Handle: RePEc:rfa:afajnl:v:3:y:2017:i:1:p:1-10