Financial Integration of GCC Capital Markets:Evidence of Nonlinear Cointegration

Ibrahim Onour

MPRA Paper from University Library of Munich, Germany

Abstract: This paper employs a nonparametric test to investigate nonlinearity in the long-run equilibrium relationship between GCC stock markets returns. The results in the paper show strong evidence of bivariate and multivariate cointegration between five of GCC stock markets. However, Bahrain stock market is evidenced segmented from the group of GCC markets. It is indicated that there is bivariate nonlinear cointegrating relationship linking Kuwait stock market with each of Saudi, and Dubai markets. Nonlinearity also realized between Saudi market and each of Dubai and Abu-Dhabi markets, as well as between Muscat and Kuwait stock markets.

Keywords: Cointegration; nonlinear,unit roots (search for similar items in EconPapers)
JEL-codes: C10 C50 G10 (search for similar items in EconPapers)
Date: 2008-01-01
New Economics Papers: this item is included in nep-cwa
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Related works:
Journal Article: Financial integration of GCC capital markets: evidence of non-linear cointegration (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:15187

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