Onour, Ibrahim (2008): Financial Integration of GCC Capital Markets:Evidence of Nonlinear Cointegration. Published in: Afro-Asian Journal of Finance and Accounting , Vol. 1, No. 3 : pp. 251-265.
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This paper employs a nonparametric test to investigate nonlinearity in the long-run equilibrium relationship between GCC stock markets returns. The results in the paper show strong evidence of bivariate and multivariate cointegration between five of GCC stock markets. However, Bahrain stock market is evidenced segmented from the group of GCC markets. It is indicated that there is bivariate nonlinear cointegrating relationship linking Kuwait stock market with each of Saudi, and Dubai markets. Nonlinearity also realized between Saudi market and each of Dubai and Abu-Dhabi markets, as well as between Muscat and Kuwait stock markets.
|Item Type:||MPRA Paper|
|Original Title:||Financial Integration of GCC Capital Markets:Evidence of Nonlinear Cointegration|
|English Title:||Financial Integration of GCC Capital Markets:Evidence of Nonlinear Cointegration|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - General
G - Financial Economics > G1 - General Financial Markets > G10 - General
|Depositing User:||A Onour|
|Date Deposited:||07. Jun 2009 03:23|
|Last Modified:||12. Feb 2013 16:03|
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