| Author(s) | Mouawiya Al-Awad and Aqil M. Hadi Hassan |
| Affiliation | Department of Economics, College of Business and Economics, U.A.E. University, P.O. Box 75556, Dubai, U.A.E. |
| Title | A Multivariate Cointegration Analysis of the United Arab Emirates Stock Prices |
| Source | Journal of King Saud University. Administrative Sciences. Volume 16, No 1. (2004/1424) |
| Abstract | We investigate predictability among different assets in the unofficial assets market in the UAE using cointegration, causality, and the impulse response functions methodologies. The main results indicate that there exist strong long-run and short-run relationships among different stock prices in the UAE. Therefore, it is possible to use changes in some indices to predict changes in other indices both in the long-run and in the short-run. This result indicates the lack of efficiency in the unofficial assets market in the UAE. Keywords: Stock prices, United Arab Emirates, Cointegration, Causality, Predictability. JEL classification: G15 |
