@article{fdi:010061425,
  title = {{I}ntegration versus segmentation in {M}iddle {E}ast {N}orth {A}frica {E}quity {M}arket : time variations and currency risk},
  author = {{G}uesmi, {K}. and {M}oisseron, {J}ean-{Y}ves and {T}eulon, {F}.},
  editor = {},
  language = {{ENG}},
  abstract = {{T}his article investigates the dynamics of regional financial integration and its determinants in an international setting. {W}e test a conditional version of the international capital asset pricing model ({ICAPM}) accounting for the deviations from purchasing power parity ({PPP}) as well as temporal variations in both regional and local sources of risk. {U}sing data from seven major countries of the {M}iddle {E}ast {N}orth {A}frica ({MENA}) region ({T}urkey, {I}srael, {E}gypt, {J}ordan, {S}yria, {K}uwait and {T}unisia), our results support the validity of {ICAPM} and indicate that the risk is regionally priced. {F}urthermore, we show that changes in the degree of regional stock market integration are explained principally by inflation, exchange rate volatility, rate spread variations, short-term interest rate and world market dividend yield.},
  keywords = {{M}ultivariate {GARCH} ; {I}ntra-regional integration ; {CAPM} (capital asset pricing model) ; {TURQUIE} ; {ISRAEL} ; {EGYPTE} ; {JORDANIE} ; {SYRIE} ; {KOWEIT} ; {TUNISIE}},
  booktitle = {},
  journal = {{J}ournal of {I}nternational {F}inancial {M}arkets {I}nstitutions and {M}oney},
  volume = {28},
  numero = {},
  pages = {204--212},
  ISSN = {1042-4431},
  year = {2014},
  DOI = {10.1016/j.intfin.2013.10.005},
  URL = {https://www.documentation.ird.fr/hor/fdi:010061425},
}