5 Gulf Countries and Integration of Stock Makets
This is an excerpt from the paper...
Investigating the Bilateral Integration of Five GCC Financial MarketsIntroduction to the Investigation of Bilateral Integration The purpose of this study was to establish the level of integration that exists (a) among GCC financial markets and (b) between GCC financial markets and major international markets. The specific focus of this chapter is the investigation of bilateral integration among five GCC financial markets. The five GCC financial markets included in the analyses represent five GCC states ù Bahrain, Kuwait, Oman, Qatar, and Saudi Arabia. The five GCC financial markets subjected to analysis are as follows: Bahrain Stock Exchange (BSE): Bahrain Muscat Securities market (MSM): Oman Saudi Stock Market (SSM): Saudi Arabia Scope and Method of the Investigation Four statistical procedures were applied in the investigation of the bilateral integration of the five GCC financial markets. The statistical procedures were as follows: Correlation Analysis: Correlation matrices were developed for each of the 10 bilateral pairs among the five GCC financial markets analyzed Augmented Dickey-Fuller Test: Augmented Dickey-Fuller tests were performed to establish the stationarity (determination of the presence of unit roots) of the data for each of the five GCC financial markets Johansen Co-Integration Test: Johansen Co-Integration tests were performed for each of the 10 bilateral pair
. . .
e with the concept of stock market integration, which assumes a similarity in securities offerings and the ability of investors from each market to hold investment in all securities. The findings of the Johansen Co-Integration Test of the Bahrain and Saudi Arabia stock markets are consistent with the finding of the correlation analysis involving these two stock markets.
Chart 3-15: Johansen Co-Integration Test ù Kuwait-Oman (Muscat)
Critical Values
Vector/H0 Decision
r test Statistic
p .20
p .10
p .05
Vector 0
12.7
11.6
13.6
15.8
H0 Decision
Reject
Accept
Accept
Vector 1
2.9
5.9
7.6
9.1
H0 Decision
Accept
Accept
Accept
Conclusion: r = 0; no co-integration exists
The Johansen Co-Integration Test outcome indicated that no co-integration exists between the Kuwait stock market and the stock market in Oman-Muscat. The correlation analysis showed that the relationship between movements in the two stock markets was positive but weak. Positive co-integration is compatible with the concept of stock market integration, which assumes a similarity in securities offerings and the ability of investors from each market to hold investment in all securitie
. . .
Some common words found in the essay are:
Saudi Arabia, Co-Integration Test, Vector/H0 Decision, Bahrain Oman-Muscat, Accept Conclusion, Augmented Dickey-Fuller, Johansen Co-Integration, Correlation Analyses, Accept Vector, Arabia OLS, stock markets, five gcc, accept accept, johansen co-integration, financial markets, saudi arabia, gcc financial, gcc financial markets, co-integration test, johansen co-integration test, stock market, h0 decision, five gcc financial, accept accept accept, decision accept accept,
Approximate Word count = 8146
Approximate Pages = 33 (250 words per page)
|