THE STUDY OF DYNAMIC RELATIONSHIP BETWEEN US STOCK MARKET AND SELECTED MIDDLE EAST STOCK MARKET

Loading...
Thumbnail Image
Date
2010-05
Authors
Ahmed, Amel Abdoullah
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
The aim of this dissertation is to study the long run and short run dynamic relationships between two US stock indices namely SP500 and NASDAQ with three other stock indices of Middle East countries namely Egypt (CCSI), Jordan (ASE), and Saudi Arabia (TASl) from January 1999 until December 2009. Analysis in this dissertation included the Augmented Dickey Fuller (ADF) and Phillips Perron (PP) unit root test, Johansen Juselius (JJ) cointegration test, Granger causality test and Vector Autoregression (V AR) model. The results are as follows. Firstly, unit root test suggest that all the variables are stationary at the first differences. Secondly, for long run dynamic relationship the results of JJ co integration test indicate the absence of long run relationship between the two US stock market indices and ASE, CCSI, and T ASI. Next the Granger causality test shows that short run dynamic relationship exist between SP500 and two others stock market indices namely ASE and CCSI. While NASDAQ did not affect on the three stock markets indices in short run and long run. We conclude that SP500 had more affect than NASDAQ on the three Middle East stock market indices.
Description
Keywords
DYNAMIC , MIDDLE
Citation