Further evidence on Middle East and North Africa financial markets integration

Bakry, Walid; Al-Mohamad, Somar

doi:10.1504/ijebr.2018.088513

Cited by 9 publications

(12 citation statements)

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“…The methodology we have used in this study is the ARDL bound testing approach. We adopted this approach due to its several advantages over the conventional type of cointegration techniques (Bakry -Almohamad, 2018;Fosu -Magnus 2006). For example, the Johansen cointegration approach has a nature of complexity, needs all variables to be the same order of integrations (I(1)), is less efficient in small numbers of observation, inefficient and leads to contrary results when there are more than two I(1) variables.…”

Section: Methodsmentioning

confidence: 99%

Macroeconomic determinants of external indebtedness of Ethiopia: ARDL approach to co-integration

Beyene

Kotosz

2020

Society and Economy

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Although Ethiopia is one of the Heavily Indebted Poor Countries (HIPC), there is a lack of empirical studies about the determinants of its external indebtedness. This paper aims to fill this gap by examining the macroeconomic determinants of the external indebtedness of Ethiopia between 1981 and 2016, using the two- and three-gap models as a theoretical framework and an autoregressive distributed lag bound testing approach. The result shows that in the long run, the savings-investment gap, trade deficit, fiscal deficit, and debt service have a positive and significant impact on external indebtedness. However, the growth rate of gross domestic product, trade openness, and inflation negatively and significantly affect the external indebtedness of the country. These results coincide with the predictions of the two- and three-gap models of the theoretical framework. The study argues that appropriate macroeconomic, social, and supply-side policies are essential to reducing the external indebtedness of Ethiopia.

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Section: Methodsmentioning

confidence: 99%

Macroeconomic determinants of external indebtedness of Ethiopia: ARDL approach to co-integration

Beyene

Kotosz

2020

Society and Economy

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“…Gilmore et al (2008), Aggarwal and Kyaw (2005) and Lahrech and Sylwester (2013) claim close stock market integration, thereby comovement in the prices of NAFTA equity markets after the formation of economic partnership. Basher et al (2014) for the GCC region, and Yu and Hassan (2008) and Bakry and Almohamad (2018) for the MENA region offer evidence of financial integration among member nations.…”

Section: Literature Reviewmentioning

confidence: 97%

“…The degree of integration among countries tends to change over time, especially around periods marked by financial crises (Yang et al, 2003). There has been a significant change in the financial integration of markets after the financial crisis (Bakry and Almohamad, 2018).…”

Section: Literature Reviewmentioning

confidence: 99%

Asian stock market integration after the global financial crisis: an ARDL bound testing approach

Saji

2021

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PurposeThe Global recession of 2008 was the worst financial crisis in the postworld war economic history that brought in severe disruptions in global investments and capital flows. Not surprisingly, research interest in the field of market integration has considerably increased over the last decade. This paper analyses the dynamics of price integration among Asian financial markets during the postfinancial crisis period.Design/methodology/approachWe employ an Autoregressive Distributed Lag (ARDL) bounds testing approach to cointegration and a Granger Causality/Block Exogeniety test from a Vector Error Correction Model (VECM) on monthly stock index data of five leading Asian economies from April 2009 to March 2020.FindingsThe cointegration results could not produce any conclusive evidence of long-run relations between stock markets. There exists weak price convergence among markets, and financial integration is partial and in an imperfect form.Research limitations/implicationsStock price performance in China is closely “coupled” with that in India, but both markets appear to be the short-run predictors of Asian stock returns. The research uses only the benchmark stock indices of the selected economies. Consideration of mid-cap and small-cap segments where foreign investments are significant today can validate the findings further.Practical implicationsThe asymmetric pattern of price behavior of Asian markets has important implications for the pricing efficiency of national markets and offers arbitrage potentials for global investors to optimize returns through market diversifications on a long-term perspective. The finding definitely will be a great help to investors who are potentially interested in a trading strategy that offers greater returns with limited exposure to market risks.Originality/valueCompared with previous studies, the research uses the most recent data of leading Asian markets and applies the robust method of ARDL Bounds testing approach that allows us to understand better if the economic recoveries and advancement have had an effect on market coupling and stock price transmissions.

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“…He also found the Indian stock market to be the most active of the BRIC and more closely linked to developed markets compared to the Brazilian, Russian and Chinese markets. Bahr and Nikolova (2009) similarly found the Indian stock market to be strongly integrated at regional and international levels when compared to the other BRIC countries. An and Brown (2010), however, examining the period 1995 to 2009, found that only China exhibited a strong long-term equilibrium with the US, while India along with Brazil, Russia, and non-US developed were found to be less integrated with the US.…”

Section: Review Of Recent Empirical Studiesmentioning

confidence: 84%

“…The first empirical studies of what became the BRICS bloc were Chittedi (2009), Bahr and Nikolova (2009), An andBrown (2010), andChittedi (2009) used the Johansen-Juselius cointegration method with the Granger causality tests to find a long-term relationship between the US, UK and Japanese stock markets for the period 1998 to 2009. He also found the Indian stock market to be the most active of the BRIC and more closely linked to developed markets compared to the Brazilian, Russian and Chinese markets.…”

Section: Review Of Recent Empirical Studiesmentioning

confidence: 99%

The Impact of BRICS Formation on Portfolio Diversification: Empirical Evidence from Pre- and Post-Formation Eras

et al. 2019

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Further evidence on Middle East and North Africa financial markets integration

Cited by 9 publications

References 0 publications

Macroeconomic determinants of external indebtedness of Ethiopia: ARDL approach to co-integration

Macroeconomic determinants of external indebtedness of Ethiopia: ARDL approach to co-integration

Asian stock market integration after the global financial crisis: an ARDL bound testing approach

The Impact of BRICS Formation on Portfolio Diversification: Empirical Evidence from Pre- and Post-Formation Eras

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