The objective of this paper is to study capital market integration in the MENA countries and its implications for an international portfolio investment allocation. Using four co-integration methodologies, we significantly reject the hypothesis of a stable, long run bivariate relationship and...

The objective of this paper is to review the transmission mechanisms uniting equity market development and economic growth in developing countries. We find that the theoretical impact of equity markets is ambiguous. At the domestic level, the allocation function of equity markets appears...

The purpose of this paper is to investigate vulnerability to financial contagion in a set of expanding emerging markets of the Middle East and North Africa, during seven episodes of international financial crisis. Using Fry amp; Baur (2005) fixed-effect panel approach, we significantly reject...

The objective of this paper is to situate the MENA area within the emerging markets universe. We first discuss the various components of market emergence and generate four bootstrapped indexes reflecting market size, market activity, market pricing and transparency. We then draw inter-regional...

We examine the issue of possible portfolio diversification benefits into seven Middle-Eastern and North African (MENA) stock markets. We construct international portfolios in dollars and local currencies. We compute the ex-ante weights by plugging five optimization models and two risk measures...

The objective of this paper is to study capital market integration in smaller European countries and its implications for an international portfolio investment allocation. A time-varying analysis based on Barari (2004) suggests that the markets have recently started moving towards international...

The purpose of this paper is to investigate vulnerability to financial contagion in a set of expanding emerging markets of the Middle East and North Africa, during seven episodes of international financial crisis. Using Fry amp; Baur (2005) fixed-effect panel approach, we significantly reject...

We investigate the case for Bordeaux and Rhone wine as an investment. The raw data analysed comprises of approx. 335,000 observations of wine sales prices and is analysed using the repeat sales regression method. General Red Bordeaux and Rhone wine indices are constructed for the period January...

The issue of gold and silver price manipulation, in particular price suppression, is examined. We use a mixture of normal approach to decompose the returns into abnormal and control samples. Price suppression is a form of market manipulation of the runs type where longer negative runs with lower...

Previous research has identified that investors place more emphasis on technical analysis than fundamental analysis, however the research has largely been confined to daily data and stock market indices. This paper studies whether intraday technical trading rules produce significant payoffs in...