Further Evidence on Middle East and North Africa Financial Markets Integration

Bakry, W. & Al-Mohamad, S. (2018). Further evidence on Middle East and North Africa financial markets integration. International Journal of Economics and Business Research, Vol.15, No 1.

16 Pages Posted: 19 May 2020

See all articles by Walid Bakry

Walid Bakry

Western Sydney University

Somar Al-Mohamad

American University of Middle East. Kuwait

Date Written: January 1, 2017

Abstract

This paper provides further evidence on financial integration among MENA and developed the US stock markets between 2000 and 2015. This paper employs Zivot and Andrews (1992) and Bai and Perron (2003) methods to test for single and multiple structural breaks in MENA markets, respectively, along with the autoregressive distributed lag (ARDL) and Granger causality techniques to examine the dynamic interaction among the aforementioned stock markets in both long and short-run. Results find that, in general, the Global Financial Crisis (GFC) to be the most significant event leading to structural change in almost all the MENA markets. Furthermore, MENA countries are cointegrated among each other, and with US stock market. Financial markets in the MENA region are not isolated from global events and global shocks such as the GFC and the European debt crisis are found to have at least the same impact as local and regional events on the financial systems in MENA countries.

Keywords: structure breaks; financial integration; MENA stock markets; Global Financial Crisis; GFC; causal relationships; Middle East and North Africa.

JEL Classification: C58, F36, G11, G15

Suggested Citation

Bakry, Walid and Al-Mohamad, Somar, Further Evidence on Middle East and North Africa Financial Markets Integration (January 1, 2017). Bakry, W. & Al-Mohamad, S. (2018). Further evidence on Middle East and North Africa financial markets integration. International Journal of Economics and Business Research, Vol.15, No 1., Available at SSRN: https://ssrn.com/abstract=3593127

Walid Bakry (Contact Author)

Western Sydney University ( email )

Sydney
1 Parramatta Square, 169 Macquarie Street, Parrama
Sydney, 2751
Australia
2 9685 9372 (Phone)

Somar Al-Mohamad

American University of Middle East. Kuwait ( email )

Block 6, Building 1
Egaila
Kuwait
2225 1400 (Phone)

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