Abstract
Purpose – The aim of this paper is to examine the dynamic relationships between Middle East stock markets. Design/methodology/approach – Daily data from the Egyptian (CMA) and Israeli Tel Aviv Stock Exchange (TASE-100) stock indices are considered. The paper employs a Bivariate cointegration GARCH(1,1) model to explain price discovery and lead-lag relationships for the period July 1997 – August 2007. Findings – Empirical results confirm that the Egyptian market plays a price discovery role, implying that CMA prices contain useful information about TASE-100 prices. CMA market is more informationally efficient than TASE-100 market. Further, CMA index reflects new information faster than TASE-100 index. Research limitations/implications – Future research should examine the dynamic relationships between Middle East stock markets using intraday (high frequency) data and recent dynamic (long memory) methods. Practical implications – The findings are helpful to financial managers and traders dealing with Middle East stock markets. Originality/value – The contribution of this paper is to provide evidence on the stock market dynamics and financial linkages between two Middle East emerging markets using recent daily data and a modern econometric model. To the best of the author's knowledge, no previous study has tested the dynamic relationships between daily prices of CMA and TASE-100.
Original language | English |
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Pages (from-to) | 227-236 |
Number of pages | 10 |
Journal | International Journal of Islamic and Middle Eastern Finance and Management |
Volume | 4 |
Issue number | 3 |
DOIs | |
Publication status | Published - 30 Aug 2011 |
Keywords
- Economic fluctuations
- Middle East
- Price linkages
- Share prices
- Stock markets
- Stock prices