Globalization and Investment Opportunities: A Cointegration Study of Arab, U.S., and Emerging Stock Markets
Posted: 14 Sep 2008
Date Written: September 12, 2008
Abstract
Using a sample of Arab, U.S., and emerging stock markets from 1997-2002, this study is designed to determine if international diversification is still possible despite growing globalization and the consequent integration among various stock markets. Our results show that within Arab markets, Kuwait co-integrates individually with Jordan, Tunisia, and Saudi Arabia and between Tunisia and Jordan, thus offering investors possible continued diversification opportunities. On the other hand, only Jordan, Kuwait, and Morocco are co-integrated with the U.S. general market index, implying that these markets offer a probable substitute for those investing in the U.S. markets.
Keywords: Arab stock markets, emerging markets, cointegration, diversification, globalization
JEL Classification: F3, G1
Suggested Citation: Suggested Citation