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Cointegration and dynamic linkages of international stock markets: an emerging market perspective

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  • Ahmed, Walid M.A.

Abstract

This study investigates the long-run relationships and short-run dynamic linkages between the stock exchange of Egypt and its counterparts in Group of Seven (G7) countries, prior to and following the tragic events of September 2001, utilizing Johansen’s cointegration and variance decomposition analyses. The empirical results show, inter alia, that : (i) The Egyptian stock exchange appears to share no pairwise long-run cointegration relationships with its counterparts in the G7 countries across the pre- and post-attack periods, with the UK stock exchange being the only exception in the pre-attack period. (ii) The price variation in the Egyptian stock market over the pre- and post-attack periods is predominantly accounted for by its own innovations. (iii) Lastly, the September 2001 attack and its worldwide repercussions seem to exert no conspicuous impact on the behavior of the Egyptian stock exchange, implying that the latter tends to stand aloof from global events.

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  • Ahmed, Walid M.A., 2008. "Cointegration and dynamic linkages of international stock markets: an emerging market perspective," MPRA Paper 26986, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:26986
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    Cited by:

    1. Ezzat, Hassan, 2014. "Impact of Political Instability on Cointegration: Evidence from MENA Region Stock Markets during Pre and Post Egyptian Revolution Period," MPRA Paper 110566, University Library of Munich, Germany.

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    More about this item

    Keywords

    Stock Market Integration; Egypt; Johansen’s cointegration Analysis; Vector Error Correction Model; Variance Decomposition Analysis;
    All these keywords.

    JEL classification:

    • F15 - International Economics - - Trade - - - Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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