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Time-varying integration of mena stock markets

Somar Al-Mohamed et al.

International Journal of Development and Conflict2018article
ABDC B
Weight
0.42

Abstract

This paper examines the time-varying financial integration in the Middle East and North Africa (MENA) countries: Bahrain, Egypt, Jordan, Kuwait, Lebanon, Morocco, Oman, Qatar, Saudi Arabia, Tunisia and the United Arab Emirates (UAE) in pre and post-crisis sub-periods. The paper apply Bekaert and Harvey (1995) International Capital Asset Pricing Model (ICAPM) with regime switching mechanism, including both, constant and time-varying transition probabilities. The results indicates that stock markets of Egypt, Jordan Morocco and UAE appear to be integrated to world stock market; while the stock market of Bahrain, Kuwait, Lebanon, Oman, Qatar, Saudi Arabia and Tunisia appear to be segmented from world stock market. In general, the stock markets in MENA region exhibit a variation in their degree of integration with world stock market except for Lebanon and Qatar.

3 citations

Cite this paper

@article{somar2018,
  title        = {{Time-varying integration of mena stock markets}},
  author       = {Somar Al-Mohamed et al.},
  journal      = {International Journal of Development and Conflict},
  year         = {2018},
}

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Evidence weight

0.42

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.20 × 0.4 = 0.08
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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