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

被引：0
|
作者：
Dghais, Amel Abdoullah Ahmed [1 ]
Ismail, Mohd Tahir [1 ]
机构：
[1] Univ Sci Malaysia USM, Sch Math Sci, George Town, Malaysia
来源：
PROCEEDINGS FIFTH INTERNATIONAL CONFERENCE ON INTELLIGENT SYSTEMS, MODELLING AND SIMULATION | 2014年
关键词：
MENA stock markets; wavelet transform; cointegration test; unit root test; VEC model;
D O I：
10.1109/ISMS.2014.67
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
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 cointegration test and VEC model are used to determine the long run and short run relationship between these stock markets. Cointegration test confirms the existence of cointegration 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.
引用
收藏
页码：364 / 369
页数：6
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