The role of energy commodities in middle east stock market integration

Muath Asmar, Rayenda Brahmana

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)

Abstract

Given the importance of stock market integration as an indicator of portfolio benefits on the merits of global fund diversification, we test whether the integration of frontier stock market in Middle East (Jordan, Kuwait, Lebanon, and Oman) can be justified by the movement of energy commodities prices. Using the International capital asset pricing model (ICAPM) in the period January 1997-March 2010, our results indicate that there is a dynamic relationship between energy commodities in the long run. However, the sort linkages of Granger causalities show that only coal and oil Granger-cause market integration. As robustness check, this study investigates the integration of those markets into the European, Australasia, and Far East (EAFE), US, and UK stock markets. Using multivariate regression and after controlling for the size and trading liquidity, we found that there is significant relationship between energy commodities and market integration.

Original languageEnglish
Article number2
Pages (from-to)18-37
Number of pages20
JournalEnergy Studies Review
Volume19
Issue number2
Publication statusPublished - 2012
Externally publishedYes

Keywords

  • Energy commodities
  • Frontier market integration
  • Middle east
  • Portfolio management

ASJC Scopus subject areas

  • Environmental Engineering
  • Economics and Econometrics
  • Energy(all)

Fingerprint

Dive into the research topics of 'The role of energy commodities in middle east stock market integration'. Together they form a unique fingerprint.

Cite this