Title: Modelling the linkage between North and Southern Mediterranean stock markets: does the Agadir agreement have any impact?

Authors: Adel Boubaker

Addresses: Department of Finance and Accounting, University of Tunis El Manar, B.P. 248, C.P. 2092, Tunis Cedex, Tunisia

Abstract: To enhance our understanding in the basin Mediterranean stock markets, the paper investigates the relationship between the countries signatories of the Agadir agreement, which are Morocco, Tunisia, Egypt and Jordan for Southern Mediterranean markets and France, Italy, Spain and Athens for Northern Mediterranean stock markets. We use the copula approach to model the linkages (dependence structure) between these markets. Our empirical results show that there is significant increase in the dependence between these markets after the Agadir agreement. However, Egypt and Morocco seem the first to react to this agreement and occupy the large share of trade with the Northern European markets. This framework permits us to quantify the potential impact on the relationship between financial markets of the Agadir agreement.

Keywords: copula approach; Agadir agreement; variance decomposition; cointegration; basin Mediterranean stock markets; Morocco; Tunisia; Egypt; Jordan; France; Italy; Spain; Greece; dependence structure; financial markets.

DOI: 10.1504/IJBEM.2014.060478

International Journal of Business and Emerging Markets, 2014 Vol.6 No.2, pp.99 - 120

Available online: 17 Apr 2014

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