اتجاهات التكامل في أسواق الأسهم العالمية و أسواق الأسهم لدول مجلس التعاون الخليجي

الملخص EN

This paper aims to review the previous studies on stock markets in the world in order to know the cointegration trends worldwide, study the stock markets of the Gulf Cooperation Countries (GCC), know whether these markets influence each other or they are independent entities.

The study used daily data collected during a period from 05/03/2009 to 04/12/2011.

Granger Causality and causality test of VECM have been implemented to test and determine the long and short run equilibrium relationship and the direction of the causality among (GCC) markets.

The comprehensive review has shown that, despite all the technological developments and the availability of means of communication that made markets worldwide more independent, there are still opportunities to achieve the benefits of diversification through investment in the different world markets.

For the Arab Gulf markets, the cointegration test indicates no existence of a long run equilibrium.

The long and short run results causality tests were mixed.

The VECM showed more causality relations among markets than the short run test (Granger Causality).