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The relaxation of security laws and regulations in emerging markets in the Middle East and North Africa (MENA) provides abundant opportunities for foreign investors. These markets exhibit high expected returns and substantial volatility. In this paper, we investigate the lead/lag relationship between the MENA countries and regions. We find no market causality or spillover from one country to another in the North Africa region. Our results for the Levant region reveal that there are linkages between stock markets in this region. The results for the GCC (Gulf Cooperation Council) region show that there is more interaction and linkage in the GCC region than North Africa and Levant regions. An unexpected result is that UAE's stock market leads all the markets in this region. Finally, we investigate linkages among the three regions. We find that GCC influences the other two regions.
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.
With the latest development of the liberation of capital movements, the advanced process of securitisation of stock markets, and the financial globalisation, the international equity markets have become increasingly interdependent. This situation has resulted in the limitation of diversification opportunities across international equity markets. Similarly, this situation has rendered highly integrated and interdependent equity markets exposed to financial contagion which can cause the collapse of these markets in the case of crises and bubbles. In this regard, the MENA equity markets appear to be one of the alternative avenues for international diversification due to the recent economic and political reforms implemented by most of these countries. Hence it is crucial to understand the nature of equity markets relationships between countries in the region and vis-à-vis the developed equity markets. Accordingly, the study examines the long and short run relationships, as well as the volatility transmission among the MENA equity markets, as well as between the MENA equity markets and selected developed equity markets. Furthermore, the study investigates the possible impact of the global political and economic events on the interdependence structure between the studied equity markets. The study covers the period between 29/03/2000 through 12/12/2012 in weekly form. In line with these objectives, the study applied the Johanson and Juselius (1990) cointegration test to examine the long run association between the studied equity markets, vector error correction model to outline the short run adjustments towards possible long run equilibrium, Toda and Yamamoto (1995) Granger non causality tests for the short run dynamic relationships, Multivariate BEKK GARCH to study the volatility and shocks transmission between the studied markets, and finally Bai and Perron (2003) and Lee and Strazicich (2004) to identify the structural breaks during the study period and their possible impact on the interdependence structure between the studied equity markets. The findings revealed that there is no long run association between the GCC equity markets, between the three developed equity markets, between the North African equity markets, and between the developed and North African equity markets. In the short run, the GCC equity markets are mostly influenced by changes in the remaining GCC and Levant equity markets. Similarly, the Levant equity markets are mostly influenced by changes within the region. In contrast, among the North African equity markets only the Egyptian equity market is influenced by the Palestinian and Israeli equity markets. On the other hand, the developed equity markets of Japan and UK are influenced by the US equity market, while the latter is not influenced by the two former equity markets. Finally, the existence of multiple structural breaks during the study period had significant influence on the long run relationships among the selected market. This study has significant contribution to the theory, to the policy makers and regulators, as well as to the practitioners.
The Middle East and North Africa (MENA) is an economically diverse region. Despite undertaking economic reforms in many countries, and having considerable success in avoiding crises and achieving macroeconomic stability, the region’s economic performance in the past 30 years has been below potential. This paper takes stock of the region’s relatively weak performance, explores the reasons for this out come, and proposes an agenda for urgent reforms.
The objective of this handbook is to provide the readers with insights about current dynamics and future potential transformations of global financial markets. We intend to focus on four main areas: Dynamics of Financial Markets; Financial Uncertainty and Volatility; Market Linkages and Spillover Effects; and Extreme Events and Financial Transformations and address the following critical issues, but not limited to: market integration and its implications; crisis risk assessment and contagion effects; financial uncertainty and volatility; role of emerging financial markets in the global economy; role of complex dynamics of economic and financial systems; market linkages, asset valuation and risk management; exchange rate volatility and firm-level exposure; financial effects of economic, political and social risks; link between financial development and economic growth; country risks; and sovereign debt markets.
The first volume of the Eurasian Studies in Business and Economics, the official proceedings series of the Eurasia Business and Economics Society (EBES), includes selected papers from the 13th EBES Conference held in Istanbul in 2014. This volume covers theoretical and empirical contributions in the areas of innovation, entrepreneurship, HR, banking and finance. An eclectic set of methodologies and contributions from experts across the World makes this volume a valued work of reference. This volume also provides a timely opportunity to colleagues, professionals and students to catch up with the most recent studies in different fields and empirical findings on many countries and regions.
The Arab upheaval and the world's biggest financial crisis after the Great Depression were almost simultaneous in their occurrence. The Mediterranean economies now face a dual challenge of a political and financial restructuring in the light of a shaky economic pedestal on which they stand. In light of this socio-political and economic shift in both inland and in world markets, this book offers a thorough analysis on problems, prospects and the way ahead for the financial integration of the South-Mediterranean region. Several perspectives on financial integration and policy recommendations are put forward from a leading group of researchers specializing on the Mediterranean region.
Talks about the applications of management science to: Multi-Criteria Decision Making, Operations and Supply Chain Management, Productivity Management (DEA), and Financial Management. This book provides an overview of some of the most essential aspects of the discipline. It is suitable for persons interested in management or management science.
International Development Research Centre (Canada)
Author : International Development Research Centre (Canada) Publisher : IDRC Page : 294 pages File Size : 20,46 MB Release : 2000 Category : Business & Economics ISBN : 0889369305