Financial Integration of Stock Markets in the Gulf: A Multivariate Cointegration Analysis

2003 ◽  
Author(s):  
Aqil Mohammed Hadi Hassan
Keyword(s):  
Stock Markets ◽  
Financial Integration ◽  
Cointegration Analysis ◽  
Multivariate Cointegration

A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Slah Bahloul ◽  
Nawel Ben Amor
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Stock Markets ◽  
Financial Integration ◽  
Ordinary Least Squares ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

COMMON FEATURES IN EAST ASIAN STOCK MARKETS: LONG-TERM AND SHORT-TERM COMOVEMENTS BETWEEN CHINA AND KOREA

2013 ◽  
Vol 58 (03) ◽  
pp. 1350018
Author(s):  
HAHN SHIK LEE ◽  
SOO IN KIM
Keyword(s):  
Stock Markets ◽  
East Asian ◽  
International Investment ◽  
Cointegration Analysis ◽  
Chinese Stock Market ◽  
Short Term ◽  
Financial Firms ◽  
Contemporaneous Correlation ◽  
East Asian Stock Markets

As increasing attention has been given in recent literature to the potential of the Chinese financial market, we investigate the strength of shared dynamics among East Asian stock markets, by examining both the long-term and short-term comovements. In doing so, the cointegration analysis is used to assess the long-term relationship, whereas the notions of cofeature as well as contemporaneous correlation are employed to discuss the short-term relationship. The basic finding is that evidence for short-term comovement between the Korean and Chinese stock markets appears to be strong, while evidence for long-term relationship is rather weak. Empirical results from subsamples suggest that both the long-term and short-term relationships have strengthened since the acquisition of QFII qualification by Korean financial firms. These observations indicate that the international linkage between the two countries has strengthened along with increasing opportunities for international investment in the Chinese stock market.

Analyzing Long-Term Dynamic Causal Linkages and Financial Integration Between the Capital Markets in Romania and Hungary

2019 ◽  
pp. 215-228
Keyword(s):  
Stock Markets ◽  
Financial Integration ◽  
Financial Contagion ◽  
Emerging Stock Markets ◽  
International Portfolio Diversification ◽  
Contagion Effects ◽  
Long Run ◽  
International Portfolio ◽  
The Empirical Analysis

This chapter aims to investigate long-term dynamic causal linkages between stock markets in Hungary and Romania in order to obtain additional benefits based on international portfolio diversification, especially in terms of globalization. Emerging stock markets are generally considered to be more attractive for both institutional and individual financial investors due to certain stylized facts. The volatility transmission patterns, financial contagion effects, international interdependence and long-run causal linkages between international stock markets highlight the importance of a functional and stable financial environment. Technically, the structure of this subchapter includes both theoretical developments and additional empirical results. Moreover, the empirical analysis provides a quantitative perspective on global interdependencies between Romania and Hungary.

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