Dynamic Linkages Among the Emerging Middle Eastern and the United States Stock Markets
The City College of The City University of New York - Department of Economics; The University of Pennsylvania - Department of Economics
International Journal of Business, Vol. 10, No. 1, 2005
Vector Auto Regression (VAR) and Beysian Vector Auto-Regression (BVAR) models are used to trace the dynamic linkages across daily returns of stock market indexes in the Middle East and the United States, and to investigate how a shock in one market is transmitted to other markets. The Middle East Countries are: Egypt, Israel, Jordan, Lebanon, Morocco, Oman, and Turkey. The dynamic linkages among these stock markets are found to be relatively small. The conclusion is that although markets are efficient, there are dynamic linkages that can be explored and exploited to benefit the diversified international investors.
Number of Pages in PDF File: 30
Keywords: Middle East, stock market Indices, Vector Auto-Regressions, Bayesian vector auto-regression, dynamic linkages, Egypt, Israel, Jordan, Lebanon, Morocco, Oman, Turkey
JEL Classification: C32, F0, G0, N2, O5Accepted Paper Series
Date posted: April 1, 2005
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