EconPapers    
Economics at your fingertips  
 

Commonality in liquidity among Middle East and North Africa emerging stock markets: Does it really matter?

Sinda Hadhri () and Zied Ftiti
Additional contact information
Sinda Hadhri: UR CONFLUENCE : Sciences et Humanités (EA 1598) - UCLy - UCLy (Lyon Catholic University), ESDES - ESDES, Lyon Business School - UCLy - UCLy - UCLy (Lyon Catholic University)

Post-Print from HAL

Abstract: This study investigates commonality in daily liquidity among 11 emerging stock markets from the Middle East and North Africa from January 2005 to June 2017. First, we test long memory in liquidity in these markets. Second, we select a number of factors eligible to affect liquidity commonality among local, regional and global factors. We find that regional and US factors do not explain liquidity variations in all the markets that exhibit low sensitivity to external factors. Our results are robust to the use of alternative proxies. The analysis in sub-periods confirms our results showing that most markets are not very sensitive to fluctuations and external shocks of liquidity. For international investors, stock markets in the Middle East and North Africa present an opportunity for further diversification, as these markets exhibit weak correlations between them and with the global market with regard to liquidity.

Keywords: Middle East; North Africa; stock markets; Moyen-orient; Afrique du Nord; Marchés boursiers (search for similar items in EconPapers)
Date: 2019-10
References: Add references at CitEc
Citations:

Published in Economic Systems, 2019, 43 (3-4), pp.art. 100699. ⟨10.1016/j.ecosys.2019.100699⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:hal:journl:hal-05158131

DOI: 10.1016/j.ecosys.2019.100699

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2025-07-21
Handle: RePEc:hal:journl:hal-05158131