TY - JOUR
T1 - Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing
AU - Hatemi-J, Abdulnasser
N1 - Funding Information:
The author is indebted to the editor of this journal and the anonymous referee for useful comments that resulted in improving the article. The standard disclaimer applies nonetheless. This work was funded by the summer research grant provided by the Faculty of Business and Economics at the UAE University .
PY - 2012/5
Y1 - 2012/5
N2 - The integration and development of financial markets is an important issue because it can result in economic growth via increasing exchange and more efficient allocation of scarce resources. It is also important for defining and conducting appropriate policies to counteract adverse spill-over effects across markets. The main goal of this paper is to assess the degree of integration or segmentation of the UAE stock market with the USA market by conducting new causality tests developed by Hatemi-J (forthcoming) that separate the effect of positive shocks from the negative ones. The empirical results based on standard symmetric causality tests indicate that the UAE market is segmented from the USA market. However, when the asymmetric causality tests are implemented the results reveal clearly that the UAE market is indeed integrated with the USA market. These results show, in addition, that the degree of integration is stronger when the markets are falling than rising.
AB - The integration and development of financial markets is an important issue because it can result in economic growth via increasing exchange and more efficient allocation of scarce resources. It is also important for defining and conducting appropriate policies to counteract adverse spill-over effects across markets. The main goal of this paper is to assess the degree of integration or segmentation of the UAE stock market with the USA market by conducting new causality tests developed by Hatemi-J (forthcoming) that separate the effect of positive shocks from the negative ones. The empirical results based on standard symmetric causality tests indicate that the UAE market is segmented from the USA market. However, when the asymmetric causality tests are implemented the results reveal clearly that the UAE market is indeed integrated with the USA market. These results show, in addition, that the degree of integration is stronger when the markets are falling than rising.
KW - Asymmetric causality test, The USA
KW - Financial market integration
KW - The UAE
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U2 - 10.1016/j.ribaf.2012.01.002
DO - 10.1016/j.ribaf.2012.01.002
M3 - Article
AN - SCOPUS:84856977556
SN - 0275-5319
VL - 26
SP - 273
EP - 280
JO - Research in International Business and Finance
JF - Research in International Business and Finance
IS - 2
ER -