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Emerging Markets and the Global Economy by Duc Khuong Nguyen, Sabri Boubaker, Mohammed Hedi Arouri

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Chapter 27

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

Jamel Jouinia, Jihed Majdoubb and Ines Ben Bouhouchc,    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: jjouini@ksu.edu.sa

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 ...

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