On Risk and Return in MENA Capital Markets

Cointegration in Central and East European markets in light of EU accession

“…Darrat et al (2000) found linkages between emerging markets in the Gulf and mature markets. His findings were supported by Girard et al (2003) and Ferreira and Girard (2004). Yang et al (2003) examined the relationships between the five largest emerging African stock markets and the US market.…”

The impact of trading volume on stock price volatility in the Arab economy

“…This factor is not, however, applied to the Arab stock markets, because of the weak correlation between Arab stock markets and other international markets, including developed and emerging markets as reported by various studies. [22][23][24][25][26] Accordingly, the possible interpretation is related to the fact that the stock trading volatility is motivated by liquidity connected to oil revenues, which is witnessing a high volatility as shown during January and February of 2008, in which the oil prices swing between $80 and over $100 per barrel. This assumption needs to be examined in the light of new developments in both oil and stock markets.…”

“…Examples of studies discussing the correlation between Arab markets and other markets include the following: Dahel 22 found that Arab markets were characterised by low correlations with each other and with international markets, and exhibited the lowest level of volatility of returns, and were not affected by international financial crises. Girard et al 23 concluded that the Arab stock markets were highly segmented and provide diversification benefits to the global investor. Saadi-Sedik and Martin 24 found that the Amman stock exchange and other Arab stock markets are co-integrated, whereas there is no co-integrating with other emerging or developed stock markets.…”

What are the risks when investing in thin emerging equity markets: Evidence from the Arab world

“…We examine the relationship between risk and stock returns in thinly traded emerging markets using not only fundamental risk measures but also country risk scores. A previous study has investigated the relationship between volatility and returns in Arab equity indices (Girard et al, 2003a). Several papers have investigated the relationship between stock returns and fundamental risk attributes in emerging markets (Claessens et al, 1998;Lyn and Zychowicz, 2004;Ramcharran, 2004).…”