کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
963995 1479119 2014 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Integration versus segmentation in Middle East North Africa Equity Market: Time variations and currency risk
ترجمه فارسی عنوان
یکپارچگی در مقابل تقسیم بندی بازار سهام آسیای میانه در شمال آفریقا: تغییرات زمانی و ریسک ارز
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی

This article investigates the dynamics of regional financial integration and its determinants in an international setting. We test a conditional version of the international capital asset pricing model (ICAPM) accounting for the deviations from purchasing power parity (PPP) as well as temporal variations in both regional and local sources of risk. Using data from seven major countries of the Middle East North Africa (MENA) region (Turkey, Israel, Egypt, Jordan, Syria, Kuwait and Tunisia), our results support the validity of ICAPM and indicate that the risk is regionally priced. Furthermore, we show that changes in the degree of regional stock market integration are explained principally by inflation, exchange rate volatility, rate spread variations, short-term interest rate and world market dividend yield.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 28, January 2014, Pages 204–212
نویسندگان
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