| Author(s) | Mohammad Abdallah AI-Jarrah |
| Affiliation | Department of Economics, College of Administrative Sciences, King Saud University, Riyadh |
| Title | Are Arabian Stock Markets Cointegrated? An Empirical Evidence |
| Source | Journal of King Saud University. Administrative Sciences. Volume 11, No 2. (1999/1419) |
| Abstract | This paper attempts to empirically investigate the existence of integration among a number of Arab stock markets. To achieve such objective, a number of recent econometric techniques were employed. These include vector autoregressive analysis, Johan cointegration method, and Granger-causality tests. The study found, through cointegration tests, that the stock markets under investigation are cointegrated. This implies that they do not drift apart !Tom each other. This finding was supported by Granger-causality tests which found a number of bi-directional and unidirectional causation among the markets. The results, in general, give good indicators of the plausibility of employing the observed relationship among these markets to encourage the flow of capital within these countries. This, in turn, requires more efforts by the monetary authorities toward regulating the financial and stock markets and unifying their systems in a way that guarantees a !Tee movement of capital among Arab countries. |
