Regional Integration of Stock Markets in MENA Countries

Aktham Maghyereh

Journal of Emerging Market Finance, 2006, vol. 5, issue 1, 59-94

Abstract: Using a trivariate vector autoregression model with a proper control for hetroscedasticity, this article empirically investigates the interdependence among the daily equity market returns for four major Middle Eastern and North African (MENA) emerging markets. The four equity markets studied are the Jordanian, Egyptian, Moroccan and Turkish markets. Evidence indicates that none of the MENA markets is completely isolated and independent. However, the results of the dynamic links indicate that the integration among these markets is still weak. The weakness of economic and financial ties between the MENA countries may explain this result.

Keywords: JEL Classification: C50; JEL Classification: F36; JEL Classification: G15; Middle Eastern emerging markets; equity market integration; vector autoregressive model (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:5:y:2006:i:1:p:59-94

DOI: 10.1177/097265270500500103

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