Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing

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    22 Citations (Scopus)

    Abstract

    The integration and development of financial markets is an important issue because it can result in economic growth via increasing exchange and more efficient allocation of scarce resources. It is also important for defining and conducting appropriate policies to counteract adverse spill-over effects across markets. The main goal of this paper is to assess the degree of integration or segmentation of the UAE stock market with the USA market by conducting new causality tests developed by Hatemi-J (forthcoming) that separate the effect of positive shocks from the negative ones. The empirical results based on standard symmetric causality tests indicate that the UAE market is segmented from the USA market. However, when the asymmetric causality tests are implemented the results reveal clearly that the UAE market is indeed integrated with the USA market. These results show, in addition, that the degree of integration is stronger when the markets are falling than rising.

    Original languageEnglish
    Pages (from-to)273-280
    Number of pages8
    JournalResearch in International Business and Finance
    Volume26
    Issue number2
    DOIs
    Publication statusPublished - May 2012

    Keywords

    • Asymmetric causality test, The USA
    • Financial market integration
    • The UAE

    ASJC Scopus subject areas

    • Business, Management and Accounting (miscellaneous)
    • Finance

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