Comovements and linkages of emerging stock markets

A case study from OIC member countries

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

This paper investigates the comovements and linkages between selected Organization of the Islamic conference (OIC) stock markets. Comovement and linkages are two different phenomenon and need to be differentiated in the analyses. Time series can move together or share same path in the short or long run without linkages. Performing only cointegration analyses can mislead our result. In order to gauge out and clarify the nature or form of the relationship, multivariate cointegration test, vector error correction model and Granger causality test are employed for the daily stock market indices of Indonesia, Malaysia, Pakistan and Turkey for the period spanning from the first day of January 2000 to 24 th October, 2008. Empirical findings indicate that; (a) there is evidence for stock market linkages between Indonesia, Malaysia, Pakistan and Turkey in the sample period, (b) Turkish stock market granger cause the other sample countries" stock markets.

Original languageEnglish
Pages (from-to)105-120
Number of pages16
JournalJournal of Economic Cooperation and Development
Volume30
Issue number4
Publication statusPublished - Oct 2009

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stock market
organization
Pakistan
Indonesia
Malaysia
Turkey
causality
time series
Linkage
Comovement
Stock market
Emerging stock markets
cause
evidence

ASJC Scopus subject areas

  • Business and International Management
  • Economics and Econometrics
  • Political Science and International Relations

Cite this

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abstract = "This paper investigates the comovements and linkages between selected Organization of the Islamic conference (OIC) stock markets. Comovement and linkages are two different phenomenon and need to be differentiated in the analyses. Time series can move together or share same path in the short or long run without linkages. Performing only cointegration analyses can mislead our result. In order to gauge out and clarify the nature or form of the relationship, multivariate cointegration test, vector error correction model and Granger causality test are employed for the daily stock market indices of Indonesia, Malaysia, Pakistan and Turkey for the period spanning from the first day of January 2000 to 24 th October, 2008. Empirical findings indicate that; (a) there is evidence for stock market linkages between Indonesia, Malaysia, Pakistan and Turkey in the sample period, (b) Turkish stock market granger cause the other sample countries{"} stock markets.",
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AB - This paper investigates the comovements and linkages between selected Organization of the Islamic conference (OIC) stock markets. Comovement and linkages are two different phenomenon and need to be differentiated in the analyses. Time series can move together or share same path in the short or long run without linkages. Performing only cointegration analyses can mislead our result. In order to gauge out and clarify the nature or form of the relationship, multivariate cointegration test, vector error correction model and Granger causality test are employed for the daily stock market indices of Indonesia, Malaysia, Pakistan and Turkey for the period spanning from the first day of January 2000 to 24 th October, 2008. Empirical findings indicate that; (a) there is evidence for stock market linkages between Indonesia, Malaysia, Pakistan and Turkey in the sample period, (b) Turkish stock market granger cause the other sample countries" stock markets.

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