Emerging Markets and the Global Economy

Chapter 27

Equity Market Comovements Among Selected Emerging Countries from Long- and Short-Run Perspectives

Jamel Jouini^a, Jihed Majdoub^b and Ines Ben Bouhouch^c,    ^aDepartment of Economics, College of Business Administration, King Saud University, Saudi Arabia,    ^bHigh School of Management of Tunis, University of Tunis, Tunisia,    ^cFaculty of Economics and Management of Nabeul, University of Carthage, Tunisia,    E-mail: [e-mail]

Abstract

This chapter deals with long- and short-run comovements among selected emerging equity markets by employing the ARDL bounds approach to cointegration of Pesaran et al. (2001) and the DCC-GARCH model of Engle (2002). It is shown in the literature that these techniques enable us to obtain reliable ...