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Integration of Financial Markets: A Study of Egypt and Palestine Stock Markets
Applied Finance and Accounting
View Archive Info| Field | Value | |
| Title |
Integration of Financial Markets: A Study of Egypt and Palestine Stock Markets
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| Creator |
Hadi, Abdul Razak Abdul
Hamad, Shadi Hiung, Eddy Yap Tat |
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| Description |
The objective of this study is to determine the existence of equilibrium and dynamic relations between Egyptian Stock Exchange (EGX) and Palestine Stock Exchange (PEX). Utilising the framework of international trade theories, this paper employs the Engle-Granger Co-integration (1987) procedure as an estimation model on monthly time series data from February 1998 to April 2012. Results indicate that there is a significant equilibrium nexus between EGX and PEX but no empirical evidence was found on the existence of dynamic relations between them via Granger Causality tests. However, analysis of dynamic interactions of the post-sample period by means of Impulse-Response Functions and Variance Decomposition indicate sensitivity in EGX towards changes in PEX.
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| Publisher |
Redfame publishing
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| Contributor |
—
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| Date |
2016-08-16
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://redfame.com/journal/index.php/afa/article/view/1817
10.11114/afa.v3i1.1817 |
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| Source |
Applied Finance and Accounting; Vol 3, No 1 (2017); 1-10
2374-2429 2374-2410 |
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| Language |
eng
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| Relation |
http://redfame.com/journal/index.php/afa/article/view/1817/2371
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