Financial Markets Integration of Iran Within the Middle East and with the Rest of the World

Parinaz Ezzati
Additional contact information
Parinaz Ezzati: Business School, University of Western Australia

No 12-24, Economics Discussion / Working Papers from The University of Western Australia, Department of Economics

Abstract: It is widely argued that Iran’s financial markets are effectively isolated from the rest of the world. To see whether this argument is true and to better understand Iran’s financial development, financial interdependencies of Iran within the Middle East and with the rest of the world are estimated. Monthly financial data from equity, money and foreign exchange markets is applied over 12 years; and integration of each of these markets is analysed in turn. To begin with, testing for stationarity using tests for a unit root in presence of breaks is undertaken. The series are found to contain different orders of integration, a situation that leads to the use an ARDL to test for cointegration. It is found that Iran is not fully integrated nor completely segregated from the rest of the world, thus the question as to whether Iran should be considered as a good choice for international portfolio diversification is controversial.

Pages: 34 pages
Date: 2012
New Economics Papers: this item is included in nep-ara
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.business.uwa.edu.au/__data/assets/pdf_ ... est-of-the-World.pdf

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:uwa:wpaper:12-24

Access Statistics for this paper

More papers in Economics Discussion / Working Papers from The University of Western Australia, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sam Tang ().