Contents of the volume

2019, Volume 72 - Issue 4

ISSN: 2499-8265
RSS feed citation: At RePEc
Publication date: 04 November 2019


Nicola Acocella

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Miroslav N. Jovanovic

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Theodore Mariolis, Eirini Leriou, George Soklis

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Abdulnasser Hatemi-J, Safa Al-Mohana

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Emmanuel Anoruo

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Teboho Jeremiah Mosikari, Joel H. Eita, T. Confidence Nthebe

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Amedeo Amato

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Genoa Chamber of Commerce
Economia Internazionale / International Economics

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Corresponding author

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

Testing for Financial Market Integration of the UAE Market with the Global Market




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.

JEL classification

C32, F16, G15


Financial Market Integration, Asymmetric Causality, The UAE


  1. Introduction
  2. Literature review
  3. Data, methodology and test results
  4. Conclusions


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