Long Term Inter- And Intra-Regional Stochastic Trends To Middle East And North African Capital Markets

Abstract

This paper investigates the contribution of Middle East and North African (MENA) capital markets to global strategic asset allocation. Eleven MENA stock markets are examined from January 1^st, 1990 to December 30th, 2001. Cointegration studies are conducted on daily, weekly and monthly stock market index price to investigate long-term market linkages. Our results indicate few pairwise stochastic trends between markets, but no common long-term co-movements. We suggest that MENA markets provide diversification potentials for the global investor and should not be treated as a block for global strategic asset allocation purposes.