Testing the linkages of Arab stock markets: a multivariate GARCH approach

Volume: 16, Issue: 4, Pages: 192 - 204
Published: Dec 6, 2019
Abstract
The authors undertook to examine 720 monthly observations of activity in 15 Arab stock markets over four years (from 2014 to 2017) to identify the dynamic linkages among those markets. To achieve this, several forms of the Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH) model were utilized. Both panel and individual stationarity, in addition to cointegration tests, were employed to highlight the interaction between these...
Paper Details
Title
Testing the linkages of Arab stock markets: a multivariate GARCH approach
Published Date
Dec 6, 2019
Volume
16
Issue
4
Pages
192 - 204
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