Dynamic Relationship between the US Stock Market and the Stock Markets of MENA Economics

机译：美国股票市场与MENA Economics股票市场之间的动态关系

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This paper is based on an investigation to explore the dynamic relationship between US stock market index and three other stock indices of the Middle East and North Africa (MENA). This is accomplished by using discrete wavelet filtering, applied to daily data set from 6/29/2001 to 5/5/2009. After that co integration test and VEC model are used to determine the long run and short run relationship between these stock markets. Co integration test confirms the existence of co integration between the studied series, and shows that there is a long run relationship between the US stock market and MENA stock markets, while the VEC model shows that there is a short run relationship between the aforesaid stock markets.

机译：本文基于一项调查，以探讨美国股票市场指数与中东和北非（MENA）的其他三种股票指数之间的动态关系。这是通过使用离散小波滤波实现的，该离散小波滤波应用于2001年6月29日至2009年5月5日的每日数据集。之后，使用协整测试和VEC模型确定这些股票市场之间的长期和短期关系。协整检验证实了所研究的序列之间存在协整，表明美国股市与MENA股市之间存在长期关系，而VEC模型表明上述股市之间存在短期关系。。

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《International Conference on Intelligent Systems, Modelling and Simulation》|2014年|364-369|共6页
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Dghais Amel Abdoullah Ahmed; Ismail Mohd Tahir;
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MENA stock markets; VEC model; cointegration test; unit root test; wavelet transform;

机译：MENA股票市场; VEC模型;协整检验;单位根检验;小波变换;

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3. The Dynamic Relationship between Stock Market and Macroeconomy at Sectoral Level: Evidence from Chinese and US Stock Market [J] . Zhenni Jin, Kun Guo Complexity . 2021,第a期

机译：部门股市与宏观经济的动态关系：中美股市证据
4. Dynamic Relationship between the US Stock Market and the Stock Markets of MENA Economics [C] . Amel Abdoullah Ahmed Dghais, Mohd Tahir Ismail International Conference on Intelligent Systems, Modelling and Simulation . 2014

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Dynamic Relationship between the US Stock Market and the Stock Markets of MENA Economics

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