Dynamic Linkages Among Equity Markets in the Middle East and North African Countries

24 Pages Posted: 19 Apr 2007

See all articles by Yaser Alkulaib

Yaser Alkulaib

Old Dominion University - Finance

Mohammad Najand

Old Dominion University - Finance

Abstract

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.

Keywords: Emerging markets, MENA capital markets, State space models

Suggested Citation

Alkulaib, Yaser and Najand, Mohammad, Dynamic Linkages Among Equity Markets in the Middle East and North African Countries. Available at SSRN: https://ssrn.com/abstract=979342 or http://dx.doi.org/10.2139/ssrn.979342

Yaser Alkulaib

Old Dominion University - Finance ( email )

Norfolk, VA 23529-0222
United States

Mohammad Najand (Contact Author)

Old Dominion University - Finance ( email )

School of Business and Public Administration
Norfolk, VA 23529-0222
United States
757-683-3509 (Phone)
757-683-5639 (Fax)

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