Long Term Inter- And Intra-Regional Stochastic Trends To Middle East And North African Capital Markets

Girard, Eric; Ferreira, Eurico J.

doi:10.19030/iber.v3i2.3664

Cited by 5 publications

(6 citation statements)

References 13 publications

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“…These findings are quite in conformity with those of Darrat et al (2000) and Girard and Ferreira (2004) who provide evidence that Egypt, being a member of the Middle East and North Africa (MENA) region, seems to be segmented globally and integrated regionally, and thus shares no long-term relationships with the more developed countries.…”

Section: Table 4 About Heresupporting

confidence: 91%

Cointegration and Dynamic Linkages of International Stock Markets: An Emerging Market Perspective

Ahmed

2010

SSRN Journal

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Section: Table 4 About Heresupporting

confidence: 91%

Cointegration and Dynamic Linkages of International Stock Markets: An Emerging Market Perspective

Ahmed

2010

SSRN Journal

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“…The study documents the evidence of substantial diversification opportunities for investors. (Girard & Ferreira, 2004) explore the role of MENA stock markets to the global asset allocation plan. The study reports the stipulated market offer diversification opportunities for the global investors.…”

Section: Extant Literaturementioning

confidence: 99%

Examining Linkages between Saudi Stock Market (TASI) and Selected Stock Markets Indices

Rehman¹,

Hazazi²

2014

International Journal of Financial Research

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This study makes an endeavor to examine the existence of linkages between Saudi Stock Market Index (TASI) and the bigwig stock markets indices, namely, US, UK, Japan and Gulf Cooperation Council (GCC). Data are culled and collated on a weekly basis commencing from 01/07/2004 to 31/12/2008 for the Period-I (This phase cover substantial economic boom period in Saudi Arabia) and from 01/01/2009 to 31/07/2013 for the Period-II (This duration encapsulates major restructuring in the Saudi stock market sectors). Significant tests are employed in the study, namely, the Pearson Correlation, Unit root, Johansen Co-integration, and Pairwise Causality tests. The results have demonstrated that volatility of TASI returns have decreased over the years and the correlations between the stock markets have increased. Further, the study reveals that the stock market indices have integration traits. Similarly, numerous causations between stock markets indices have increased in the period-II. Therefore, these findings are pertinent for all investors at domestic and international level. Further the findings of the study shall sanguinely carve a niche on the literature domain of Saudi Stock Market Index (TASI).

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“…3. See Girard and Ferreira (2004). Other studies such as Bekaert et al (1998) and Amoateng and Kargar (2004) suggest that emerging markets are heavily influenced by local investors who concentrate the investment decision on local economic and market conditions.…”

Section: Currencymentioning

confidence: 99%

“…By the end of 2007, the Saudi stock market was the largest based on its market capitalization ($518,984 m), while the Omani market was the smallest ($23,086 m). As a result, there are few financial cross-links amongst the GCC stock markets even though they are geographically close together (Girard and Ferreira, 2004). Fourth, the risk-return relationships of stocks listed on GCC emerging markets are quite unique, if not anomalous.…”

Section: Introductionmentioning

confidence: 99%

Does infrequent trading make a difference on stock market efficiency?

Al‐Khazali

2011

Studies in Economics and Finance

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Purpose -After adjusting for thin trading, this study seeks to examine the market efficiency for six emerging stock markets in the Gulf Cooperation Council (GCC) countries: Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and the United Arab Emirates. Design/methodology/approach -This study uses the LOMAC single variance ratio (VR) test and the Wright's rank and sign VR tests to examine informational efficiency after correcting the data for thin trading that typically characterizes these indexes. Findings -As the observed indexes in thinly traded markets may not represent the true underlying index value, there is a systematic bias toward rejecting the efficient market hypothesis. The results of this study show that after removing the effect of infrequent trading the random walk hypothesis was not rejected in all GCC equity markets. Originality/value -To the best of the author's knowledge this is the first study that applies the Wright's rank and sign VR tests after adjusting for thin trading in GCC equity market.

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Long Term Inter- And Intra-Regional Stochastic Trends To Middle East And North African Capital Markets

Abstract: This paper investigates the contribution of Middle East and

Cited by 5 publications

References 13 publications

Cointegration and Dynamic Linkages of International Stock Markets: An Emerging Market Perspective

Cointegration and Dynamic Linkages of International Stock Markets: An Emerging Market Perspective

Examining Linkages between Saudi Stock Market (TASI) and Selected Stock Markets Indices

Does infrequent trading make a difference on stock market efficiency?

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