The Role of Energy Commodities in Middle East Stock Market Integration
Abstract Given the importance of stock market integration as an indicator of portfolio benefits on the merits of global fund diversification, we test whether the integration of frontier stock market in Middle East ( Jordan, Kuwait, Lebanon, and Oman) can be justified by the movement of energy com...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
The Berkeley Electronic Press
2012
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/9690/ http://ir.unimas.my/id/eprint/9690/1/The%20Role%20of%20Energy%20Commodities%20in%20Middle%20East%20Stock%20Market%20Integration%28abstract%29.pdf |
| Summary: | Abstract
Given the importance of stock market integration as an indicator of portfolio benefits on the merits of global
fund diversification, we test whether the integration of frontier stock market in Middle East ( Jordan, Kuwait,
Lebanon, and Oman) can be justified by the movement of energy commodities prices. Using the International
capital asset pricing model (ICAPM) in the period January 1997–March 2010, our results indicate that there
is a dynamic relationship between energy commodities in the long run. However, the sort linkages of Granger
causalities show that only coal and oil Granger-cause market integration. As robustness check, this study
investigates the integration of those markets into the European, Australasia, and Far East (EAFE), US, and UK
stock markets. Using multivariate regression and after controlling for the size and trading liquidity, we found
that there is significant relationship between energy commodities and market integration. |
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