The determinants of regional stock market integration in middle east: A conditional ICAPM approach

Guesmi, Khaled; Teulon, Frédèric

doi:10.1016/j.inteco.2013.10.006

Cited by 10 publications

(4 citation statements)

References 51 publications

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“…The empirical analysis is conducted based on a nonlinear approach, which relies on the multivariate of GDC-GARACH. The study looks into market risk premium as the total risk of the economy used within financial integration (see, for example, Phylaktis and Ravazzolo 2002;Arouri 2006;Guesmi 2012).…”

Section: Financial Market Integration and Volatilitymentioning

confidence: 99%

Global Financial Market Integration: A Literature Survey

Haddad

2023

JRFM

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This article undertakes a literature review on the topic of market integration, covering over 380 articles from the 1980s to 2024. The review consists of a qualitative analysis for context and a quantitative analysis for content, identifying key research streams and proposing directions for future research. I have identified six research groups: (1) market segmentation, (2) portfolio diversification, (3) market integration evidence from developed and emerging markets, (4) spillovers and linkages, (5) economic market integration, and (6) financial market integration and volatility. The literature focuses on market integration; it aims to answer the following questions: (1) What is the scope of market integration research? (2) What are the direct influences of market integration looking at top journals and authors and characteristics of most studied and cited topics? (3) What are the past and recent topics studied within the area of market integration? (4) What are the potential future research questions to explore in market integration? The topic of market integration has been controversial in many studies, as seen in policy decision-making, investments, and other related areas; this literature will provide great benefit for such an audience.

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Section: Financial Market Integration and Volatilitymentioning

confidence: 99%

Global Financial Market Integration: A Literature Survey

Haddad

2023

JRFM

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“…They also deduced that the interdependence among MENA stock markets is growing but still weak. Guesmi and Teulon (2014) investigated the evolution of the process of integration in Middle East equity markets. Their estimated of the integration indices suggests that there are wide ranges in the degree of integration.…”

Section: Co-integration Estimation Techniques Developed Bymentioning

confidence: 99%

The Potential Opportunities in International Portfolio Diversification

Heshmat

2019

المجلة العربية للإدارة

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This study aims to investigate potential opportunities in international portfolio diversification. The study searches the opportunities for Egyptian investors in the Middle East and North Africa (MENA), European, Asian and United States stock markets. The study investigates the relationship of the Egyptian' s stock market equity indices with world markets through examining the co-integrating behaviour, Granger causality tests, Variance Decompositions and Impulse Responses. A domestic portfolio has been composed to be used as a benchmark in comparing the benefit of international portfolio diversification using the mean-variance Portfolio Optimization (PO) approach. The results reveal that however the Egyptian market is integrated to the world market, there are still some gains could be achieved from international diversification.

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“…In addition to these determinants, GDP growth rate differential and time trend also has a significant relationship with the co-movement of stock market. Guesmi and Teulon (2014) examined the underlying forces of stock market integration of Middle East countries (Turkey, Israel, Jordan and Egypt). The results revealed that domestic (inflation, rate of spread variation and exchange rate volatility) and global (global interest rate, world market returns, and world market dividend yields) factors are significant in explaining the integration between the stock markets of Middle East countries.…”

Section: Empirical Evidences Of Determinants Of Stock Market Co-movementmentioning

confidence: 99%

Determinants of Stock Market Co-Movements between Pakistan and Asian Emerging Economies

Aamir

Shah

2018

JRFM

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This study analyzes the determinants of stock market co-movement between Pakistan and Asian emerging economies for the period 2001 to 2015. Augmented Dickey and Fuller (ADF) and Philips-Perron (PP) tests are applied to check co-integration between their stock markets. Results of this study reveal that there is long-term integration between the stock market of Pakistan and the stock markets of China, India, Indonesia, Korea, Malaysia and Thailand. This study reports the driving forces of the co-movement between the Pakistan and Asian emerging markets where co-integration is found. Results of the panel data reveal that there are significant underlying forces of integration between Pakistan and each Asian emerging stock market. The findings of this study have significant implications for policy makers in Pakistan who are designing strategies for macroeconomic harmonization and stability of the country's economy against financial shocks.

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The determinants of regional stock market integration in middle east: A conditional ICAPM approach

Cited by 10 publications

References 51 publications

Global Financial Market Integration: A Literature Survey

Global Financial Market Integration: A Literature Survey

The Potential Opportunities in International Portfolio Diversification

Determinants of Stock Market Co-Movements between Pakistan and Asian Emerging Economies

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