THE STUDY OF DYNAMIC RELATIONSHIP BETWEEN US STOCK MARKET AND SELECTED MIDDLE EAST STOCK MARKET
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Date
2010-05
Authors
Ahmed, Amel Abdoullah
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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.
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Keywords
DYNAMIC , MIDDLE