Do Emerging and Frontier Stock Markets of Middle East and North Africa (MENA) Region Provide Diversification Opportunities?

Nisha Mary Thomas (), Smita Kashiramka and Surendra Singh Yadav
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Nisha Mary Thomas: Indian Institute of Technology Delhi
Smita Kashiramka: Indian Institute of Technology Delhi
Surendra Singh Yadav: Indian Institute of Technology Delhi

Chapter Chapter 14 in Advances in Time Series Data Methods in Applied Economic Research, 2018, pp 191-203 from Springer

Abstract: Abstract The study investigates if emerging and frontier equity markets of Middle East and North Africa (MENA) region are well integrated with each other and with the developed markets of USA and UK. Gregory and Hansen cointegration test and Geweke Measures of Feedback are employed to analyze long-run relationship and short-run dependencies between equity markets respectively. The results show that emerging markets of Egypt and Saudi Arabia are fairly segmented with the developed markets and hence have the potential to enhance diversification benefits of a global portfolio. Further, frontier markets like Bahrain, Jordan and Morocco are not well integrated with both the developed markets and regional emerging markets. Hence, these frontier markets also offer gains of diversification to international investors. Results of this study will facilitate international investors in designing an optimal portfolio. It will also benefit policymakers in formulating suitable economic stabilization policies.

Keywords: Stock market integration; MENA; Frontier markets; Emerging markets; G10; G15 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-02194-8_14

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DOI: 10.1007/978-3-030-02194-8_14

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