International Journal of Business

Articles from Vol. 8, No. 3, Summer

Efficiency Differences between the S&P 500 and the Tel-Aviv 25 Indices: A Moving Average Comparison
ABSTRACT This paper compares the Tel-Aviv Stock Exchange (TASE) 25 Index (TA25) to the S&P 500 Index with respect to the extent that the Technical Analysis method of moving average can beat the buy-and-hold policy. Previous research on the S&P...
Financial Integration of Stock Markets in the Gulf: A Multivariate Cointegration Analysis
ABSTRACT This paper uses multivariate cointegration techniques developed by Johansen (1988, 1991, 1992b) and Johansen and Juselius (1990) to test for the existence of long-term relationships between share prices in the gulf region. Using a vector-error-correction...
Introduction for the Special Issue on Emerging Financial Markets of the Middle East
ABSTRACT The emerging financial markets of the Middle East and North Africa, i.e., the financial markets of Bahrain, Egypt, Israel, Jordan, Kuwait, Lebanon, Morocco, Oman, Tunisia, and Turkey are less known and researched. This paper introduces...
Mean-Reversion across MENA Stock Markets: Implications for Derivative Pricing
ABSTRACT This paper investigates the mean reversion patterns in MENA stock markets. Following Fama and French (1988) and Lo and Mackinlay (1988) and using recent stock market data between 1995 and 2000 on Egypt, Jordan, Morocco, and Turkey we find...
Measuring the Systematic Risk of IPO's Using Empirical Bayes Estimates in the Thinly Traded Istanbul Stock Exchange
ABSTRACT The systematic risk of IPO's in the thinly traded Istanbul Stock Exchange (ISE) are estimated using Empirical Bayes Estimators (EBE). The sectors that the firms belong to, provide the priors. Comparisons are made with OLS estimators across...
On Risk and Return in MENA Capital Markets
ABSTRACT This paper investigates relationships between market risk premium, time-varying variance and time-varying covariance in eleven Middle Eastern and North African (MENA) markets and eight developed markets from 1990 to 2001. Following Pettengill,...
Political Events and the Stock Market: Evidence from Israel
ABSTRACT The past decade has seen increasing activity regarding the peace process between Israel and its Arab neighbors. In this paper I study the return patterns of the Tel Aviv Stock Exchange index and of Israeli firms' stocks traded in the United-States...
Time Series Analysis of the Impact of Real Interest Rates on Stock Market Activity and Liquidity in Egypt: Co-Integration and Error Correction Model Approach
ABSTRACT Since 1991 Egypt has witnessed major and radical changes in its economic climate as a result of the government's adoption of a program of economic reform aimed at increasing the growth rate of the economy. Arguably, this objective can be...