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How Homogeneous are the Stock Markets of the Middle East and North Africa

Jorg Bley

Quarterly Journal of Finance and Accounting2016article
ABDC B
Weight
0.53

What the paper says

In light of the changing economic environment in most Middle East and North African (MENA) countries, the objective of this study is to determine the contemporaneous interactions of the stock markets of Bahrain, Egypt, Israel, Jordan, Kuwait, Lebanon, Morocco, Oman, Palestine, Qatar, Saudi Arabia, Tunisia, Turkey, and the United Arab Emirates by (1) determining the degree of market integration, (2) qualifying the return sensitivity among the markets, (3) revealing any lead-lag relationships, (4) analyzing degree and stationarity of relative market co-movements, and (5) investigating the impact of US, UK, and Indian stock market movements on the MENA counterparts. The results indicate that the changing stock market dynamics within the MENA region still yield substantial intraregional diversification benefits and suggest the inclusion of regional equity in a global portfolio.

14 citations

Cite this paper

@article{jorg2016,
  title        = {{How Homogeneous are the Stock Markets of the Middle East and North Africa}},
  author       = {Jorg Bley},
  journal      = {Quarterly Journal of Finance and Accounting},
  year         = {2016},
}

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How Homogeneous are the Stock Markets of the Middle East and North Africa

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Evidence weight

0.53

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

F · citation impact0.47 × 0.4 = 0.19
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.