Cointegration of MENA stock markets: Turkey, Egypt and Israel

Aksoy M., AKIN F., Zeytunlu N.

International Research Journal of Finance and Economics, cilt.76, ss.47-66, 2011 (Scopus) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 76
  • Basım Tarihi: 2011
  • Dergi Adı: International Research Journal of Finance and Economics
  • Derginin Tarandığı İndeksler: Scopus
  • Sayfa Sayıları: ss.47-66
  • Anahtar Kelimeler: Cointegration, Correlation, MENA, Volatility
  • Bilecik Şeyh Edebali Üniversitesi Adresli: Evet

Özet

This paper first analyzes long and short-term co-movements between Turkish, Egypt and Israel stock markets based on cointegration and correlation analysis. Second it uses GARCH(1,1) model to examine the index return volatilities. The data used in this study was obtained from S&P IFC, Datastream. The actual time period under study ranges from 2002 to 2010. There is low return correlations among markets. Cointegration is not detected and strong GARCH effects exist in these markets. © EuroJournals Publishing, Inc. 2011.