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Working Paper Series - Financial Integration of North Africa Stock Markets



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Financial Integration of North Africa Stock Markets


Volume : 0

No : 0

ISSN : WPS0908

Publisher : Arab Planning Institute - Kuwait

Author (s) : Ibrahim Onour 

Published Date : 1/1/2009


Contents :
This paper investigateslong-term relationship linking stock prices of three major North African stockmarkets: Egypt,Morocco,and Tunisia. The paper shows that, there is a strong evidence of multivariate andbivariate nonlinear long-term relationship between stock prices of thesemarkets. Nonlinear cointegration between stock prices imply portfolios in thesemarkets are inefficient (systematic risk cannot be diversified away), asmovement in the prices of these markets are linked in a predictable directionbut nonlinearly. 

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