Cheng, Ai-ru and Jahan-Parvar, Mohammad R. and Rothman, Philip (2009): An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa.
This is the latest version of this item.
Download (260kB) | Preview
This paper studies excess market returns in the relatively understudied nancial markets of nine Middle Eastern and North African (MENA) countries within the context of three variants of the Capital Asset Pricing Model: the static international CAPM; the constant-parameter intertemporal CAPM; and a Markov-switching intertemporal CAPM which allows for the degree of integration with international equity markets to be time-varying. On the whole we nd that: (1) Israel and Turkey are most strongly integrated with world nancial markets; (2) in most other MENA markets examined there is primarily local pricing of risk and evidence of a positive risk-return trade-o; and (3) there is substantial time variation in the weights on local and global pricing of risk for all of these markets. Our results suggest that investment in many of these markets over the sample studied would have provided returns uncor- related with global markets, and thus would have served as nancial instruments with which portfolio diversication could have been improved.
|Item Type:||MPRA Paper|
|Original Title:||An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa|
|Keywords:||Middle Eastern and North African (MENA), GARCH, CAPM, Markov switching, segmentation, integration, emerging markets|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
|Depositing User:||Mohammad R. Jahan-Parvar|
|Date Deposited:||29. Oct 2009 00:06|
|Last Modified:||13. Feb 2013 19:04|
Adler, M., Dumas, B., 1983. International Portfolio Choice and Corporation Finance: A Synthesis. Journal of Finance 38, 925-984.
Alper, C. E., 2001. The Turkish Liquidity Crisis of 2000: What Went Wrong? Russian and East European Finance and Trade 37 (6), 51-71.
Bekaert, G., Harvey, C. R., 1995. Time-Varying World Market Integration. Journal of Finance 50 (2), 403-444.
Bekaert, G., Harvey, C. R., 1997. Emerging Equity Market Volatility. Journal of Financial Economics 43, 29-77.
Bekaert, G., Harvey, C. R., Lundblad, C. T., Siegel, S., 2008. What Segments Equity Markets? Working Paper, Columbia Business School.
Binder, J. J., 1998. The Event Study Methodology Since 1969. Review of Quantitative Finance and Accounting 11, 111-137.
Chen, N.-f., Roll, R., Ross, S., 1986. Economic Forces and the Stock Market. Journal of Business 59, 383-403.
Errunza, V., 2001. Foreign Portfolio Equity Investments, Financial Liberalization, and Economic Development. Review of International Economics 9, 703-726.
Errunza, V. R., Losq, E., Padamanabhan, P., 1992. Tests of Integration, Mild Segmentation, and Segmentation Hypothesis. Journal of Banking and Finance 16, 949-972.
Fama, E. F., French, K. R., 1996. Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance 51, 55-84.
Ghysels, E., Cherkaoui, M., 2003. Emerging Markets and Trading Costs: Lessons from Casablanca. Journal of Empirical Finance 10, 169-198.
Glosten, L. R., Jaganathan, R., Runkle, D. E., 1993. On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. Journal of Finance 48, 1779-1802.
Gulen, H., Mayhew, S., 2000. Stock Index Futures, Trading and Volatility in International Equity Markets. The Journal of Futures Markets 20 (7), 661-685.
Hamilton, J. D., 1983. Oil and Macroeconomy Since World War II. Journal of Political Economy 91 (2), 228-248.
Hamilton, J. D., 1985. Historical Causes of Postwar Oil Shocks and Recessions. Energy Journal, 97-116.
Hamilton, J. D., 1996. This Is What Happened to the Oil Price/Macroeconomy Relation. Journal of Monetary Economics 38 (2), 215-220.
Hamilton, J. D., 2003. What Is an Oil Shock? Journal of Econometrics 113, 363-398.
Harvey, C. R., 1991. The World Price of Covariance Risk. The Journal of Finance 46 (1), 111-157.
Harvey, C. R., 1995. Predictable Risk and Returns in Emerging Markets. Review of Financial Studies 8, 773-816.
Henry, P. B., 1999. Chronological Listing of Major Policy Events in Emerging Markets. Working Paper, Stanford Graduate School of Business, 1-43.
Hinich, M. J., 1982. Testing for Gaussianity and Linearity of a Stationary Time Series. Journal of Time Series Analysis 3 (3), 169-176.
Hinich, M. J., 1996. Testing for Dependence in the Input to a Linear Time Series Model. Nonpara- metric Statistics 6 (2 & 3), 205-221.
Hinich, M. J., Patterson, D. M., 2005. M. Belongia and J. Binner (ed.), Money Measurement and Computation. Palgrave, London, Ch. Detecting Epochs of Transient Dependence in White Noise, 61-75.
Hinich, M. J., Serletis, A., 2007. Episodic Nonlinear Event Detection in the Canadian Exchange Rate. Journal of the American Statistical Association 102 (477), 68-74.
Kandel, S., Stambaugh, R. F., 1990. Expectations and volatility of consumption and asset prices. Review of Financial Studies 3, 207-232.
Kim, E. H., Singal, V., 2000. Stock Market Opennings: Experience of Emerging Markets. Journal of Business 73, 25-66.
Lintner, J., 1965. The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics 47, 13-37.
Merton, R. C., 1973. An Intertemporal Capital Asset Pricing Model. Econometrica 41, 867-887.
Merton, R. C., 1980. On Estimating the Expected Return on the Market: An Explanatory Inves- tigation. Journal of Financial Economics 8, 323-361.
Nelson, D. B., 1990. Conditional Heteroscedasticity in Asset Returns: A New Approach. Econo- metrica 59, 347-370.
Newey, W. K., West, K. D., 1987. A Simple, Positive Semi-denite, Heteroskedasticity and Auto- correlation Consistent Covariance Matrix. Econometrica 55, 703-708.
Pan, J., 2002. The Jump-Risk Premia Implicit in Options: Evidence From an Integrated Time- Series Study. Journal of Financial Economics 63, 3-50.
Sharpe, W. F., 1964. Capital asset prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance 19, 425-442.
Available Versions of this Item
An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa. (deposited 16. Feb 2009 07:34)
- An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa. (deposited 29. Oct 2009 00:06) [Currently Displayed]