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• W3122370783 abstract "ABSTRACT Vector Auto Regression (VAR) and Bayesian Vector Auto-Regression (BVAR) models are used trace the dynamic linkages across daily returns stock market indexes in the Middle East and the United States, and investigate how a shock in one market is transmitted other markets. The Middle East Countries include Egypt, Israel, Jordan, Lebanon, Morocco, Oman, and Turkey. The dynamic linkages among these stock markets are found be relatively small. The conclusion is that although markets are efficient, there are dynamic linkages that can be explored and exploited benefit the diversified international investors. JEL: C32, F0, G0, N2, O5 Keywords: Middle East; Stock market indices; Vector auto-regressions; Bayesian vector auto-regression; Dynamic linkages; Egypt, Israel; Jordan; Lebanon; Morocco; Oman; Turkey I. INTRODUCTION The process globalization is creating a new world. The benefits and costs international portfolio diversification need be considered by anyone holding a financial portfolio. Similarly, the firm that is considering raising new resources needs address the requirements the global marketplace. The globalization process is being driven by technical changes and falling barriers international transactions. It is further characterized by the exchange knowledge and information among countries. These exchanges are encouraged by the unprecedented decrease information costs. In the recent decade, markets, businesses, regions, and continents have become more interdependent upon one another. This phenomenon encourages a wide range financial services and fundraising throughout the world. The globalization economic activity, the increased world wealth, and the reduction in transaction costs associated with the information revolution all direct investors consider the newly emerging financial markets. This process has led the introduction public share offerings (do you want say to nearly two dozen or of nearly two dozen nearly two-dozen countries and spawned a global market culture among millions new investors. At the end the second millennium, the global stock market capitalization has surpassed the world gross domestic product. Morgan Stanley Capital International estimates the market value stock traded on the world's 48 largest markets at $31.7 trillion at the end November 1999. Global GDP, the value world's total output goods and services, is estimated by the International Monetary Fund be at $30.1 trillion. At the end the century, more countries than ever were participating in capital markets. Moreover, companies all around the globe increasingly rely on the stock market raise funds. This process is aided by the progression countries privatize their holdings and transfer ownership from the state private investors. This phenomenon is not restricted the United States, where the number listed companies has increased by more than five times since 1990 more than 10,000, or Western Europe, where governments auctioned off large portions state-owned enterprises the public. Estimates by Morgan Stanley Capital International reveal that the combined market capitalization for the United Kingdom, Germany and France increased by 250% in the last decade. Moreover, only ten years ago, countries such as China, the Soviet Union and its former Eastern Block satellite countries which had just abandoned command economies and were lacking any stock market, had enlisted more than 1,300 publicly traded counties at the end 1998 exchanges. This paper uses Vector Auto Regression (VAR) and Bayesian VAR models trace the dynamic linkages across daily returns the national stock market indexes in the Middle East and major world stock market indexes in the United States. The fate the economy a country is intertwined with the performance its stock markets. …" @default.
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• W3122370783 date "2005-03-22" @default.
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• W3122370783 title "Dynamic Linkages Among the Emerging Middle Eastern and the United States Stock Markets" @default.
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