Marashdeh, Hazem; Wilson, E.J. - School of Accounting, Economics, and Finance, … - 2005
This paper tests for structural changes in the price indices of four stock markets in the Middle East region, namely, Egypt, Turkey Jordan, Morocco and Israel. The Innovational Outlier (IO) model and Additive Outlier (AO) model indicate that all variables show evidence of non-stationarity, I(1),...