Financial Market Theory of Development – evidence from Palestine and Israeli Stock Exchanges

Abdul Razak Abdul Hadi, and Yap, Eddy Tat Hiung and Shadi Ali Hamad, and Tahir Iqbal, (2016) Financial Market Theory of Development – evidence from Palestine and Israeli Stock Exchanges. Jurnal Pengurusan, 46 . pp. 33-42. ISSN 0127-2713

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Official URL: http://ejournal.ukm.my/pengurusan/issue/view/805

Abstract

This study is compelled by the motivation to find out potential equilibrium and dynamic relationships involving two neighboring stock exchanges - Palestine Stock Exchange (PEX) and Tel Aviv Stock Exchange (TASE). Based upon Financial Market Theory of Development, we attempt to explore the degree of integration between the two exchanges using Engle-Granger Cointegration procedures (1987). Data were collected on monthly basis over sample period from January 1998 till February 2012. The empirical results from bivariate Error Correction Model (ECM) reveal a statistically significant long-term relation between the two exchanges. However, the results from Granger Causality tests indicate absence of short-term relationships between them. To unveil Granger Causality in a dynamic context, we use out-of-sample testing via Impulse-Response Functions (IRF) and Variance Decompositions (VDC.) Interestingly, both tests show that performance of TASE does affect its archrival.

Item Type:Article
Keywords:Al-Quds index; Tel Aviv - 100 index; Financial market theory of development; Bivariate error correction model
Journal:Jurnal Pengurusan
ID Code:10794
Deposited By: ms aida -
Deposited On:04 Oct 2017 08:01
Last Modified:10 Oct 2017 12:49

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