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Financial Integration of North Africa Stock Markets

Ibrahim Onour ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates long-term relationship that links stock prices of three major North African stock markets: Egypt, Morocco, and Tunisia . The paper shows, there is strong evidence of multivariate and bivariate nonlinear long-term relationship between stock prices of these markets. Nonlinear cointegration between stock prices imply portfolios in these markets are inefficient (systematic risk cannot be diversified away), as movement in the price of one market influence the movement in another market in a predictable direction and disproportionately.

Keywords: cointegration; portfolio; diversification; nonparametric (search for similar items in EconPapers)
JEL-codes: C01 E44 (search for similar items in EconPapers)
Date: 2009-04-10
New Economics Papers: this item is included in nep-ara, nep-cwa, nep-fmk and nep-mac
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