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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.



Item Type: MPRA Paper -

Original Title: Financial Integration of North Africa Stock Markets-

English Title: Financial Integration of North Africa Stock Markets-

Language: English-

Keywords: cointegration, portfolio, diversification, nonparametric-

Subjects: E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the MacroeconomyC - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics-





Autor: Onour, Ibrahim

Fuente: https://mpra.ub.uni-muenchen.de/14938/







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