2019, Volume 72 - Issue 4
RSS feed citation: At RePEc
Publication date: 04 November 2019
THE SUPPLY CHAIN ECONOMY: HOW FAR DOES IT SPREAD IN SPACE AND TIME?Read the article
DISSECTING THE INPUT-OUTPUT STRUCTURE OF THE GREEK ECONOMY 2005-2010Read the article
TESTING FOR FINANCIAL MARKET INTEGRATION OF THE UAE MARKET WITH THE GLOBAL MARKETRead the article
DOES CORRUPTION HAMPER INWARD FDI IN SOUTH AFRICA FROM OTHER AFRICAN COUNTRIES? A GRAVITY MODEL ANALYSISRead the article
Abdulnasser HATEMI-J, Department of Accounting and Finance, College of Business and Economics, UAE University, Al Ain, The United Arab Emirates
Safa AL-MOHANA, Department of Economics and Finance, College of Business and Economics, UAE University, Al Ain, UAE
This paper investigates empirically whether or not the UAE financial market is integrated with the global financial market. A battery of diagnostic tests are performed to check for the fulfillment of statistical assumptions for a good model. The results show that the underlying data is non-normal and multivariate ARCH effects exist. Thus, we make use of bootstrap simulations with leverage adjustments in order to produce reliable critical values. Both symmetric and asymmetric causality tests are implemented. Our empirical findings indicate that the global market is negatively impacting the UAE market based on the symmetric causality test results. Nonetheless, when the asymmetric causality tests are implemented we find that a positive and permanent shock in the global market results in a positive shock in the UAE market. Similar results are found for negative shocks. Furthermore, the results show that a negative shock has a stronger causal impact than a positive shock. This means that the UAE financial market is integrated with the global market because it reacts to both positive and negative movements in this market. Policy makers might need to observe that the reaction to falling markets is stronger than to rising markets and that they should design their policy strategies accordingly.
C32, F16, G15
Financial Market Integration, Asymmetric Causality, The UAE
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