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Financial Integration of North Africa Stock Markets

Author

Listed:
  • Onour, Ibrahim
Abstract
This paper investigates long-term relationship that links stock prices of three major North African stock markets: Egypt, Morocco, and Tunisia . The paper shows, there is strong evidence of multivariate and bivariate nonlinear long-term relationship between stock prices of these markets. Nonlinear cointegration between stock prices imply portfolios in these markets are inefficient (systematic risk cannot be diversified away), as movement in the price of one market influence the movement in another market in a predictable direction and disproportionately.

Suggested Citation

  • Onour, Ibrahim, 2009. "Financial Integration of North Africa Stock Markets," MPRA Paper 14938, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:14938
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    cointegration; portfolio; diversification; nonparametric;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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