Fractional integration in the equity markets of MENA region

References

• Abraham , A , Seyyed , F and Alsakran , S . 2002 . Testing the random walk behaviour and efficiency of the Gulf stock markets . The Financial Review , 37 : 469 – 80 .
   Google Scholar
• Aggarwal , R , Inclan , C and Leal , R . 1999 . Volatility in emerging markets . Journal of Financial and Quantitative Analysis , 34 : 33 – 5 .
   Web of Science ®Google Scholar
• Al-Loughani , NE . 1995 . Random walk in thinly traded stock markets: the case of Kuwait . Arab Journal of Administrative Sciences , 3 : 189 – 209 .
   Google Scholar
• Al-Loughani , N and Moosa , IA . 1997 . “ Testing the efficiency of an emerging stock market using trading rules: the case of Kuwait, Working Paper Series Number 1 ” . Kuwait : College of Administrative Science, Kuwait University .
   Google Scholar
• Andersen , TG and Bollerslev , T . 1997 . Intraday periodicity and volatility persistence in financial markets . Journal of Empirical Finance , 4 : 115 – 58 .
   Google Scholar
• Appiah-Kusi , J and Menyah , K . 2003 . Return predictability in African stock markets . Review of Financial Economics , 12 : 247 – 70 .
   Google Scholar
• Bailey , W and Chung , YP . 1996 . Exchange rate fluctuation, political risk and stock market returns: some evidence from an emerging market . Journal of Financial and Quantitative Analysis , 30 : 541 – 61 .
   Web of Science ®Google Scholar
• Bekaert , G and Harvey , CR . 1995 . Time-varying world market integration . Journal of Finance , 50 : 403 – 44 .
   Web of Science ®Google Scholar
• Bekaert , G and Harvey , CR . 1995 . Emerging equity market volatility . Journal of Financial Economics , 43 : 29 – 78 .
   Web of Science ®Google Scholar
• Bollerslev , T and Mikkelsen , HO . 1996 . Modelling and pricing long-memory in stock market volatility . Journal of Econometrics , 73 : 151 – 84 .
   Web of Science ®Google Scholar
• Bulter , KC and Malaikah , SJ . 1992 . Efficiency and inefficiency in thinly traded stock markets: Kuwait and Saudi Arabia . Journal of Banking and Finance , 16 : 197 – 210 .
   Web of Science ®Google Scholar
• Bos , T , Ding , D and Fetherston , TA . 1998 . Searching for periods of volatility: a study of the behaviour of volatility in Thai stocks . Pacific-Basin Finance Journal , 12 : 295 – 306 .
   Google Scholar
• Byers , JD and Peel , DA . 2001 . Volatility persistence in asset markets: long memory in high/low prices . Applied Financial Economics , 11 : 253 – 60 .
   Google Scholar
• Cheung , YW . 1993 . Long memory in foreign exchange rates . Journal of Business and Economic Statistics , 11 : 93 – 101 .
   Web of Science ®Google Scholar
• Cheung , YW and Lai , KS . 1993a . Do gold market returns have long memory? . The Financial Review , 28 : 181 – 202 .
   Google Scholar
• Cheung , YW and Lai , KS . 1993b . A search for long memory in international stock market returns . Journal of International Money and Finance , 14 : 597 – 615 .
   Web of Science ®Google Scholar
• Cheung , YW , Lai , KS and Lai , M . 1993 . Are there long cycles in foreign stock returns? . Journal of International Financial Markets, Institutions and Money , 3 : 33 – 47 .
   Google Scholar
• Choudhry , T . 1999 . Stock market volatility and the crash of 1987: evidence from six emerging markets . Journal of International Money and Finance , 15 : 969 – 81 .
   Google Scholar
• Chow , KV , Denning , KC , Ferris , S and Noronha , G . 1995 . Long-term and short-term price memory in the stock market . Economics Letters , 49 : 287 – 93 .
   Web of Science ®Google Scholar
• Claessens , S , Dasgupta , S and Glen , J . 1995 . Return behavior in emerging stock markets . World Bank Economic Review , 9 : 131 – 52 .
   Web of Science ®Google Scholar
• Corrazza , M , Malliaris , A and Nardelli , C . 1997 . Searching for fractal structure in agricultural futures markets . The Journal of Futures Markets , 17 : 433 – 73 .
   Web of Science ®Google Scholar
• Darrat , AF and Pennathur , A . 2002 . Are the Arab Maghreb countries really integratable? Some evidence from the theory of cointegrated systems . Review of Financial Economics , 11 : 79 – 90 .
   Google Scholar
• Darat , AF and Hakim , SR . Paper presented at conference on Regional Trade, Finance and Labor Markets in Transition . Beirut. Price linkages, efficiency and integration of emerging stock markets in the Middle East , pp. 7 – 9 .
   Google Scholar
• De Santis , G and Imrohoroglu , S . 1997 . Stock returns and volatility in emerging financial markets . Journal of International Money and Finance , 16 : 561 – 79 .
   Web of Science ®Google Scholar
• Ding , Z , Granger , CWJ and Engle , RF . 1993 . A long memory property of stock market returns and a new model . Journal of Empirical Finance , 1 : 83 – 106 .
   Google Scholar
• Domowitz , I , Glen , J and Madhavan , A . 1998 . International cross-listing and order flow migration: evidence from an emerging market . Journal of Finance , 53 : 2001 – 27 .
   Web of Science ®Google Scholar
• Eldgridge , RM , Bernhardt , C and Mulvey , I . 1993 . Evidence of chaos in the S&P cash index . Advances in Futures and Options Research , 6 : 176 – 92 .
   Google Scholar
• El-Erian , MA and Kumar , MS . 1995 . Emerging equity markets in Middle Eastern countries . IMF Staff Papers , 42 : 313 – 43 .
   Google Scholar
• Errunza , VR . 1994 . Emerging markets: some new concepts . Journal of Portfolio Management , 20 : 82 – 7 .
   Web of Science ®Google Scholar
• Errunza , VR . 1983 . Emerging markets: a new opportunity for improving global portfolio performance . Financial Analyst Journal , September–October : 51 – 9 .
   Google Scholar
• Fang , H , Lai , KS and Lai , M . 1994 . Fractal structure in currency futures price dynamics . The Journal of Futures Markets , 14 : 169 – 81 .
   Web of Science ®Google Scholar
• Fifield , SGM , Power , DM and Sinclair , CD . 2002 . Emerging stock markets: a more realistic assessment of the gains from diversification . Applied Financial Economics , 12 : 213 – 29 .
   Google Scholar
• Fisher , A , Calvet , L and Mandelbrot , BB . 1997 . Multifractality of Deutschemark/US Dollar Exchange Rates , Yale University . Cowles Foundation Discussion Paper No. 1166
   Google Scholar
• Galariotis , EC . 2004 . Source of contrarian profits and return predictability in emerging markets . Applied Financial Economics , 14 : 1027 – 34 .
   Google Scholar
• Ghysels , E and Cherkaoui , M . 2003 . Emerging markets and trading costs: lessons from Casablanca . Journal of Empirical Finance , 10 : 169 – 98 .
   Google Scholar
• Gil-Alana , LA and Caporale , GM . 2004 . Long range dependence in daily stock returns . Applied Financial Economics , 14 : 375 – 83 .
   Google Scholar
• Giraitis , L , Kokoszka , PS , Leipus , R and Teyssiere , G . 2003 . Rescaled variance and related tests for long memory in volatility and levels . Journal of Econometrics , 112 : 265 – 94 .
   Web of Science ®Google Scholar
• Greene , TM and Fielitz , DB . 1977 . Long-term dependence in common stock returns . Journal of Financial Economics , 4 : 339 – 49 .
   Web of Science ®Google Scholar
• Harvey , CR . 1995 . Predictable risk and returns in emerging markets . Review of Financial Studies , 8 : 773 – 816 .
   Web of Science ®Google Scholar
• Helms , BP , Kaen , FR and Roseman , RR . 1984 . Memory in commodity futures contracts . Journal of Futures Markets , 4 : 559 – 67 .
   Web of Science ®Google Scholar
• Hurst , HE . 1951 . Long-term storage capacity of reservoirs . Transactions of the American Society of Civil Engineers , 116 : 770 – 799 .
   Google Scholar
• Jacobsen , B . 1996 . Long term dependence in stock returns . Journal of Empirical Finance , 33 : 393 – 417 .
   Google Scholar
• Kao , G and Ma , C . 1992 . Memories, heteroskedasticity and price limit in currency futures markets . Journal of Futures Markets , 12 : 679 – 92 .
   Web of Science ®Google Scholar
• Karemera , D , Ojah , K and Cole , JA . 1999 . Random walks and market efficiency tests: evidence from emerging markets . Review of Quantitative Finance and Accounting , 13 : 171 – 88 .
   Google Scholar
• Kiliç , R . 2004 . On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange . Applied Financial Economics , 14 : 915 – 22 .
   Google Scholar
• Kumar , PC and Tsetsekos , GP . 1999 . The differentiation of emerging equity markets . Applied Financial Economics , 9 : 443 – 53 .
   Google Scholar
• Kwiatkowski , D , Phillips , PCB , Schmidt , P and Shim , Y . 1992 . Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series are non stationary? . Journal of Econometrics , 54 : 159 – 78 .
   Web of Science ®Google Scholar
• Kunsch , HR . 1987 . “ Statistical aspects of self-similar processes ” . In Proceedings of the First World Congress of the Bernouilli Society , Edited by: Yu Prohorov and Sazanov , VV . 67 – 74 . Utrecht : VNU Science Press .
   Google Scholar
• Lee , D and Schmidt , P . 1996 . On the power of the KPSS test of stationarity against fractionally-integrated alternatives . Journal of Econometrics , 73 : 285 – 302 .
   Web of Science ®Google Scholar
• Lo , AW . 1991 . Long-term memory in stock market prices . Econometrica , 59 : 1279 – 313 .
   Web of Science ®Google Scholar
• Lo , A and MacKinlay , C . 1989 . The size and power of the variance ratio test in finite samples: a Monte Carlo investigation . Journal of Econometrics , 40 : 203 – 38 .
   Web of Science ®Google Scholar
• Lobato , IN and Savin , NE . 1998 . Real and spurious long memory properties of stock-market data . Journal of Business and Economics Statistics , 16 : 261 – 8 .
   Web of Science ®Google Scholar
• Mandelbrot , BB . 1972 . Statistical methodology for non periodic cycles: from the covariance to R/S analysis . Annals of Economics and Measurement , 1 : 259 – 90 .
   Google Scholar
• Mandelbrot , BB . 1977 . Fractals: Form, Chance and Dimensions , New York : Free Press .
   Google Scholar
• Milonas , NT , Koveos , PE and Booth , GG . 1985 . Memory in commodity futures contracts: a comment . The Journal of Futures Markets , 5 : 113 – 4 .
   Web of Science ®Google Scholar
• Moosa , IA and Al-Saad , K . 2005 . Seasonality in stock returns: evidence from an emerging market . Applied Financial Economics , 15 : 63 – 71 .
   Google Scholar
• Nawrocki , D . 1995 . R/S analysis and long term dependence in stock market indices . Managerial Finance , 21 : 78 – 91 .
   Google Scholar
• Newey , W and West , K . 1987 . A simple definite, heteroskedasticity and autocorrelation consistent covariance matrix . Econometrica , 55 : 277 – 301 .
   Web of Science ®Google Scholar
• Olan , HT . 2002 . Long memory in stock returns: some international evidence . Applied Financial Economics , 12 : 725 – 9 .
   Google Scholar
• Pagan , A . 1996 . The econometrics of financial markets . Journal of Empirical Finance , 3 : 13 – 102 .
   Google Scholar
• Poterba , J and Summers , L . 1988 . Mean-reversion in stock prices: evidence and implications . Journal of Financial Economics , 22 : 27 – 59 .
   Web of Science ®Google Scholar
• Robinson , PM . 1995a . Efficient tests of non stationary hypotheses . Journal of the American Statistical Association , 89 : 1420 – 37 .
   Web of Science ®Google Scholar
• Robinson , PM . 1995b . Gaussian semiparametric estimation of long range dependence . Annals of Statistics , 23 : 1630 – 61 .
   Web of Science ®Google Scholar
• So , MKP . 2000 . Long-term memory in stock market volatility . Applied Financial Economics , 10 : 519 – 24 .
   Google Scholar
• Sowell , F . 1992 . Maximum likelihood estimation of stationary univariate fractionally integrated time series models . Journal of Econometrics , 53 : 165 – 98 .
   Web of Science ®Google Scholar
• Tolvi , J . 2003 . Long memory and outliers in stock market returns . Applied Financial Economics , 13 : 495 – 502 .
   Google Scholar
• Tsuji , C . 2002 . Long-term memory and applying the multi-factor ARFIMA models in financial markets . Asian-Pacific Financial Markets , 9 : 283 – 304 .
   Google Scholar
• Velasco , C . 1999 . Gaussian semiparametric estimation of non stationary time series . Journal of Time Series Analysis , 20 : 87 – 127 .
   Google Scholar
• Vougas , VD . 2004 . Analyzing long memory and volatility of returns in the Athens stock exchange . Applied Financial Economics , 14 : 457 – 60 .
   Google Scholar