Price linkages between the GCC stock markets: a bounds test using an Auto Regressive-Distributed Lag model Online publication date: Mon, 26-Dec-2011
by Abraham Abraham; Haider Madani
International Journal of Monetary Economics and Finance (IJMEF), Vol. 5, No. 1, 2012
Abstract: This paper examined the linkages between the equity markets in the Gulf Cooperation Council's (GCC) region. Specifically, we applied a bounded test using an Auto Regressive-Distributed Lag (ARDL) model to determine if the markets are co-integrated. In contrast to traditional co-integration analysis, the ARDL procedure does not require the prior determination of the order of integration of the variables. The co-integration tests showed that the GCC markets are segmented. However, the subset of the markets comprising the oil and gas economies of Saudi Arabia, Kuwait and Qatar, along with Oman and Dubai share a common trend.
Online publication date: Mon, 26-Dec-2011
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