A Wavelet Analysis of MENA Stock Markets
Marco Gallegati ()
Finance from EconWPA
In this paper we revisit the issue of integration of emerging stock markets with each other and with the developed markets over different time horizons using weekly stock indices data from June 1997 until March 2005 of the five major MENA equity markets (Egypt, Israel, Jordan, Morocco and Turkey) and applying the discrete wavelet decomposition analysis. We decompose the weekly stock market returns of the main indices of the MENA countries into different time scale components using the non-decimated discrete wavelet transform and then analyze the time- scale relationship between the stock market indices of some developed areas (SP and Eurostoxx) and those of the MENA countries. The results from wavelet correlation analysis both among MENA stock markets and between these markets and some major stock markets suggests that MENA stock markets are nor regionally nor internationally integrated.
Keywords: stock market returns; comovements; wavelet correlation analysis (search for similar items in EconPapers)
JEL-codes: C22 E31 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin, nep-fmk and nep-mac
Note: Type of Document - pdf; pages: 18
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0512027
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