Exploring the Symbiotic Link: Co-Integration Analysis of the Egyptian Stock Exchange and International Equity Markets
How to cite (IJASEIT) :
The present study addresses the limited discussion on the equity market in the Middle East and North African region (MENA) concerning the spill-over effects from international equity markets. By employing time series techniques, we examine the integration and causality of interdependencies among five major stock exchange markets worldwide: USA, UK, Malaysia, Hong Kong, and Japan, along with their relationship with the Egypt Stock Exchange market. Spanning from March 1998 to January 2018, our study uniquely considers the interaction between developed and developing countries. Our co-integration findings reveal the limitations of international diversification for investors with long holding periods. We highlight the importance of seeking non-co-integrated markets, such as Malaysia and Hong Kong, which were found to be insignificant in this study, for investors aiming to diversify their portfolios and explore interesting long and short-term investment opportunities.
Abdullah, A. M., Wahab, H. A., Ghazali, M. F., Hasan, H., Ruslan, R. A. M., & WMNHWA, A. (2022). Portfolio Diversification Benefits of Malaysia's Stock Indices with Commodities: An Analysis Based on the MGARCH-DCC and Wavelet Techniques. Jurnal Pengurusan, 64, 131–147. http://myscholar.umk.edu.my/handle/123456789/3618
Abid, I., Goutte, S., Guesmi, K., & Jamali, I. (2019). Transmission of shocks and contagion from US to MENA equity markets: The role of oil and gas markets. Energy Policy, 134, 110953. https://www.sciencedirect.com/science/article/abs/pii/S0301421519305403
Al Nasser, O. M., & Hajilee, M. (2016). Integration of emerging stock markets with global stock markets. Research in International Business and Finance, 36, 1-12. https://www.sciencedirect.com/science/article/abs/pii/S0275531915300301
Alaeddin, O., Abojeib, M., Azmi, W., Alchaar, M. O., & Salim, K. (2019). The Effectiveness of the Bank Lending Channel: The Role of Banks' Market Power and Business Model. Contemporary Economics, 13(3), 253-269. http://bazekon.icm.edu.pl/bazekon/element/bwmeta1.element.ekon-element-000171573282
Ali, M., Alam, N., & Rizvi, S. A. R. (2020). Coronavirus (COVID-19)—An epidemic or pandemic for financial markets. Journal of Behavioral and Experimental Finance, 27, 100341. https://www.sciencedirect.com/science/article/pii/S2214635020301350
Al-Kofahi, Z. G., Mahdavian, A., & Oloufa, A. (2022). System dynamics modeling approach to quantify change orders impact on labor productivity 1: principles and model development comparative study. International journal of construction management, 22(7), 1355-1366. https://www.tandfonline.com/doi/full/10.1080/15623599.2020.1711494
Alkulaib, Y. A., Najand, M., & Mashayekh, A. (2009). Dynamic linkages among equity markets in the Middle East and North African countries. Journal of Multinational Financial Management, 19(1), 43-53. https://ideas.repec.org/a/eee/mulfin/v19y2009i1p43-53.html
Bhuiyan, E. M., & Chowdhury, M. (2020). Macroeconomic variables and stock market indices: Asymmetric dynamics in the US and Canada. The Quarterly Review of Economics and Finance, 77, 62-74. https://www.sciencedirect.com/science/article/pii/S1062976919301917
Cherif, M., & Gazdar, K. (2010). Institutional and macroeconomic determinants of stock market development in MENA region: New results from a panel data analysis. International Journal of Banking and Finance, 7(1), 139-159. https://scirp.org/reference/referencespapers.aspx?referenceid=2934521
Darrat, A. F., Elkhal, K., & Hakim, S. R. (2000). On the integration of emerging stock markets in the Middle East. Journal of Economic Development, 25(2), 119-130. https://ideas.repec.org/a/jed/journl/v25y2000i2p119-129.html
Dutta, A., Nikkinen, J., & Rothovius, T. (2017). Impact of oil price uncertainty on Middle East and African stock markets. Energy, 123, 189-197. https://ideas.repec.org/a/eee/energy/v123y2017icp189-197.html
Joshi, N. A., & Joshi, M. (2021). Co-Integration and Causality Among Stock Market Indices: A Study of 35 Indices Across 5 Continents. SCMS Journal of Indian Management, 18(1), 131-153. https://www.scms.edu.in/uploads/journal/January-March-20211.pdf
Kalu, E. U., Arize, A. C., Ilo, S. O., Ihegboro, I., & Eze, C. G. (2023). Evaluating the interactive effect of domestic and global stock market variables on the depth of the financial system in Sub-Saharan African countries: a panel ARDL approach. Journal of Economic Studies, 50(3), 601-624 https://econpapers.repec.org/article/emejespps/jes-05-2021-0230.htm
Kamal, A. L. M. (2022). Interrelation Dynamics between Exchange Rate and Stock Market Returns in Egypt. Archives of Business Research, 10(9). https://journals.scholarpublishing.org/index.php/ABR/article/view/13134
Kim, J., Yoon, S., & Kim, S. (2018). Dynamic stock market integration driven by the European Monetary Union: An empirical analysis. International Review of Financial Analysis, 29(10), 184-197. https://doi.org/10.1142/9789813223585_0010
Lütkepohl, H. (2005). New introduction to multiple time series analysis. Springer Science & Business Media. https://link.springer.com/book/10.1007/978-3-540-27752-1
Messaouda, B. (2021). Asymmetric Information Influence On Efficiency Of Capital Market-Case of Egypt Stock Exchange. North African Review of Economics and Management, 7(2), 1-17. https://www.asjp.cerist.dz/en/article/143065.
Metawa, N., Hassan, M. K., Metawa, S., & Safa, M. F. (2019). Impact of behavioral factors on investors’ financial decisions: case of the Egyptian stock market. International Journal of Islamic and Middle Eastern Finance and Management, 12(1), 30-55. https://www.emerald.com/insight/content/doi/10.1108/IMEFM-12-2017-0333/full/html
Ratanapakorn, O., & Sharma, S. C. (2002). Interrelationships among regional stock indices. Review of Financial Economics, 11(2), 91-108. https://www.sciencedirect.com/science/article/pii/S105905600200103X
Rehman, M. U., Ahmad, N., Shahzad, S. J. H., & Vo, X. V. (2022). Dependence dynamics of stock markets during COVID-19. Emerging Markets Review, 51, 100894. https://ideas.repec.org/a/eee/ememar/v51y2022ipbs1566014122000115.html
Shawtari, F. A., Salem, M. A., Hussain, H. I., & Hawariyuni, W. (2016). Long run relationship between macroeconomic indicators and stock price: The case of South Africa. JIBC Publisher. https://ir.unikl.edu.my/jspui/handle/123456789/14823
Singhal, S., Choudhary, S., & Biswal, P. C. (2019). Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico. Resources Policy, 60, 255-261. https://www.sciencedirect.com/science/article/pii/S0301420718305300
Stoupos, N., & Kiohos, A. (2022). Euro area stock markets integration: Empirical evidence after the end of 2010 debt crisis. Finance Research Letters, 46, 102423. https://www.sciencedirect.com/science/article/pii/S1544612321004128
Umar, Z., Polat, O., Choi, S. Y., & Teplova, T. (2022). The impact of the Russia-Ukraine conflict on the connectedness of financial markets. Finance Research Letters, 48, 102976. https://doi.org/10.1016/j.frl.2022.102976
Youssef, M., Mokni, K. & Ajmi, A.N. (2021). Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?. Financial Innovation, 7, 13. https://doi.org/10.1186/s40854-021-00227-3
Yunvirusaba, N., Aduda, J., & Kube, A. (2019). Volatility spillover effects among securities exchanges in East Africa. International Journal of Economics and Finance, 11(10), 32-41. https://t.ly/XsQ5
Yussuf, Y. C. (2022). Cointegration test for the long-run economic relationships of East Africa community: evidence from a meta-analysis. Asian Journal of Economics and Banking, 6(3), 314-336. https://www.emerald.com/insight/content/doi/10.1108/AJEB-03-2021-0032/full/html
Copyright
Copyright aims to protect the specific way the article has been written to describe an experiment and the results. Shirkah: Journal of Economics and Business is committed to its authors to protect and defend their work and their reputation and takes allegations of infringement, plagiarism, ethical disputes, and fraud very seriously. Automotive Experiences is published under the terms of the Attribution-NonCommercial 4.0 International (CC BY-NC 4.0). Authors retain copyright and grant the journal right of first publication (online and print) with the work simultaneously. We use the restrictive license (non-commercial) as follows:
BY (attribution): Users are allowed to share, distribute and redistribute the published article in any medium or format, with an identification of the authors and its initial publication in this journal. Authors are encouraged to post and distribute their articles immediately after publication (e.g., institutional or public repositories, personal websites). Authors are allowed to enter into additional contractual arrangements for the non-exclusive distribution of the published and an acknowledgment of its initial publication in this journal.
NC (non-commercial): Users are not allowed to use the article commercially without the permission of the authors. Authors agree explicitly that the published article is indexed worldwide in databases, repositories and indexation services, even if these services operate on a commercial basis. Authors grant Shirkah: Journal of Economics and Business explicit the right to include the published articles in databases, repositories and indexation services. License
License to Publish
The non-commercial use of the article will be governed by the Attribution-NonCommercial 4.0 International (CC BY-NC 4.0). The author hereby grants Shirkah: Journal of Economics and Business an exclusive publishing and distribution license in the manuscript include tables, illustrations or other material submitted for publication as part of the manuscript (the “Articleâ€) in print, electronic and all other media (whether now known or later developed), in any form, in all languages, throughout the world, for the full term of copyright, and the right to license others to do the same, effective when the article is accepted for publication. This license includes the right to enforce the rights granted hereunder against third parties.
Author's Warranties
The author warrants that the article is original, written by stated author/s, has not been published before, contains no unlawful statements, does not infringe the rights of others, is subject to copyright that is vested exclusively in the author and free of any third party rights, and that any necessary written permissions to quote from other sources have been obtained by the author(s).
User Rights
Under the Creative Commons Attribution-Non Commercial 4.0 International (CC BY-NC 4.0) license, the author(s) and users are free to share (copy and redistribute the material in any medium or format) and adapt (remix, transform, and build upon the material). Users must give appropriate credit, provide a link to the license, and indicate if changes were made.
Rights of Authors
Authors retain the following rights:
- Copyright, and other proprietary rights relating to the article, such as patent rights,
- The right to use the substance of the article in future own works, including lectures and books,
- The right to reproduce the article for own purposes, provided the copies are not offered for sale, and
- The right to self-archive the article.
Co-Authorship
If the article was prepared jointly with other authors, the signatory of this form warrants that he/she has been authorized by all co-authors to sign this agreement on their behalf, and agrees to inform his/her co-authors of the terms of this agreement.
Royalties
This agreement entitles the author to no royalties or other fees. To such extent as legally permissible, the author waives his or her right to collect royalties relative to the article in respect of any use of the article by Shirkah: Journal of Economics and Business or its sublicensee.
Miscellaneous
Shirkah: Journal of Economics and Business will publish the article (or have it published) in the Journal if the article’s editorial process is successfully completed and Shirkah: Journal of Economics and Business or its sublicensee has become obligated to have the article published. Shirkah: Journal of Economics and Business may conform the article to a style of punctuation, spelling, capitalization, and usage that it deems appropriate.