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Emerging Markets and the Global Economy
book

Emerging Markets and the Global Economy

by Mohammed Hedi Arouri, Sabri Boubaker, Duc Khuong Nguyen
December 2013
Intermediate to advanced
928 pages
28h 50m
English
Academic Press
Content preview from Emerging Markets and the Global Economy
Chapter 26

Stock and Bond Markets Co-movements in Selected MENA Countries: A Dynamic Coherence Function Approach

Jamel Boukhatema,b and Zied Ftitic,d,    aFaculty of Islamic Economics and Finance, Umm Al-Qura University, Mecca, Saudi Arabia,    bURMOFIB, FSEG University of Tunis El Manar, Tunisia,    cIPAG Business School, IPAG lab, Paris, France,    dUniversity of Tunis, High Institute of Management, GEF-2A Laboratory, Tunis, Tunisia,    E-mail: jamel.boukhatem@isg.rnu.tn, Zied.Ftiti@isg.rnu.tn

Abstract

The aim of this chapter is to study the degree of interdependence between bond-stock market returns in selected MENA countries. To this end, we propose a new empirical methodology allowing a time-varying dynamic correlation measure between the ...

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Publisher Resources

ISBN: 9780124115491