Regional Integration of Stock Markets in MENA Countries

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7 Citations (Scopus)


Using a trivariate vector autoregression model with a proper control for hetroscedasticity, this article empirically investigates the interdependence among the daily equity market returns for four major Middle Eastern and North African (MENA) emerging markets. The four equity markets studied are the Jordanian, Egyptian, Moroccan and Turkish markets. Evidence indicates that none of the MENA markets is completely isolated and independent. However, the results of the dynamic links indicate that the integration among these markets is still weak. The weakness of economic and financial ties between the MENA countries may explain this result.

Original languageEnglish
Pages (from-to)59-94
Number of pages36
JournalJournal of Emerging Market Finance
Issue number1
Publication statusPublished - Apr 2006
Externally publishedYes


  • JEL Classification: C50
  • JEL Classification: F36
  • JEL Classification: G15
  • Middle Eastern emerging markets
  • equity market integration
  • vector autoregressive model

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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