This study measures the degree of financial integration between Egypt, Jordan, Lebanon, Tunisia, and Turkey on the one hand and the United States and United Kingdom on the other hand. Using cointegration, error correction, and Granger causality tests I find that only the Turkish equity market is cointegrated with both S&P and FTSE stock markets. I also find evidence of cointegration between Tunisian and British money markets. The speed of adjustment for the cointegrating markets seems to be sluggish. I observe evidence that S&P may Granger cause the stock markets in Tunisia (marginally), Turkey, and the United Kingdom. Also, I find evidence that FTSE may Granger cause the stock series in Jordan (marginally) and Turkey. I find evidence that the US interest rate may Granger cause the interest rate series used for Tunisia and the United Kingdom. Furthermore, the UK's interest rate may Granger cause the Tunisian interest rate. Accordingly, I conclude that a limited financial integration of the countries under study with the Western financial markets; however, Turkey and Tunisia seem to have stronger connections and financial integration with American and British financial markets.
کلید واژگان :financial integration, cointegration, Granger causality
ارزش ریالی : 300000 ریال
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