Price linkages between the GCC stock markets: a bounds test using an Auto Regressive-Distributed Lag model

Abraham Abraham; Haider Madani

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Price linkages between the GCC stock markets: a bounds test using an Auto Regressive-Distributed Lag model

机译：海湾合作委员会股票市场之间的价格联系：使用自动回归滞后模型进行的边界检验

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This paper examined the linkages between the equity markets in the Gulf Cooperation Council's (GCC) region. Specifically, we applied a bounded test using an Auto Regressive-Distributed Lag (ARDL) model to determine if the markets are co-integrated. In contrast to traditional co-integration analysis, the ARDL procedure does not require the prior determination of the order of integration of the variables. The co-integration tests showed that the GCC markets are segmented. However, the subset of the markets comprising the oil and gas economies of Saudi Arabia, Kuwait and Qatar, along with Oman and Dubai share a common trend.

机译：本文研究了海湾合作委员会（GCC）地区股票市场之间的联系。具体而言，我们使用自动回归分布滞后（ARDL）模型应用了有界检验，以确定市场是否被共同整合。与传统的协整分析相比，ARDL过程不需要事先确定变量的积分顺序。协整测试表明，海湾合作委员会市场是细分市场。但是，由沙特阿拉伯，科威特和卡塔尔的石油和天然气经济体以及阿曼和迪拜组成的市场子市场具有共同的趋势。

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《International journal of monetary economics and finance》 |2012年第1期|p.87-98|共12页
作者
Abraham Abraham; Haider Madani;
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作者单位

College of Industrial Management, King Fahd University of Petroleum and Minerals (KFUPM), Dhahran 31261, Saudi Arabia;

College of Industrial Management, King Fahd University of Petroleum and Minerals (KFUPM), Dhahran 31261, Saudi Arabia;

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原文格式 PDF
正文语种 eng
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关键词
stock market linkages; GCC emerging markets; ARDL model;

机译：股市联系;海湾合作委员会新兴市场;ARDL模型;

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Price linkages between the GCC stock markets: a bounds test using an Auto Regressive-Distributed Lag model

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