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Do Emerging and Frontier Stock Markets of Middle East and North Africa (MENA) Region Provide Diversification Opportunities?

  • Nisha Mary ThomasEmail author
  • Smita Kashiramka
  • Surendra Singh Yadav
Conference paper
Part of the Springer Proceedings in Business and Economics book series (SPBE)

Abstract

The study investigates if emerging and frontier equity markets of Middle East and North Africa (MENA) region are well integrated with each other and with the developed markets of USA and UK. Gregory and Hansen cointegration test and Geweke Measures of Feedback are employed to analyze long-run relationship and short-run dependencies between equity markets respectively. The results show that emerging markets of Egypt and Saudi Arabia are fairly segmented with the developed markets and hence have the potential to enhance diversification benefits of a global portfolio. Further, frontier markets like Bahrain, Jordan and Morocco are not well integrated with both the developed markets and regional emerging markets. Hence, these frontier markets also offer gains of diversification to international investors. Results of this study will facilitate international investors in designing an optimal portfolio. It will also benefit policymakers in formulating suitable economic stabilization policies.

Keywords

Stock market integration MENA Frontier markets Emerging markets 

Classification

G10 G15 

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Copyright information

© Springer Nature Switzerland AG 2018

Authors and Affiliations

  • Nisha Mary Thomas
    • 1
    Email author
  • Smita Kashiramka
    • 1
  • Surendra Singh Yadav
    • 1
  1. 1.Department of Management StudiesIndian Institute of Technology DelhiDelhiIndia

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