B6Globalandregionalco-movementoftheMENAstockmarkets..doc

Global and regional co-movement of the MENA stock markets 中东和北非股票市场的全球性和区域性合作运动 Stock market co-movement，Wavelets，Diversi?cation 股市的共同运动，小波，多样化 This paper examines the co-movement of selected MENA region stock markets with the U.S. stock market and the regional co-movement among these markets over the period from June 2002 to June 2010. For this purpose, we apply the analysis of wavelet squared coherency with simulated con?dence bounds. The methodology enables the simultaneous assessment of short term and long term stock market co-movement and detects change in market relationships over time. The evidence suggests a modest degree of co-movement of stock returns between SP 500 and MENA stock markets at higher frequencies, implying enhanced short term diversi?cation gains. Dependencies with the U.S. stock market intensify toward the end of the stock return series, supporting the increasing trend toward international capital market co-movement. The evidence also shows a relatively high degree of co-movement among stock markets in the MENA region at lower frequencies across the entire sample, and these dependencies increase toward the end of the sample period. 本文考察选定的中东和北非地区的股票市场的共同运动与美国股市和这些市场之间的区域合作运动在此期间2002年6月至2010年6 。为此，我们应用小波平方一致性与模拟置信区间的分析。该方法使短期和长期的股市共同运动的同时进行评估和检测的变化随着时间的推移市场关系。有证据表明标普500指数和中东北非股票市场之间的股票收益在更高的频率共同运动的温和度，增强暗示短期内多样化的收益。依赖关系与美国股市加大对股票收益率序列的末尾，朝向支持国际资本市场的合作运动的上升趋势。证据还表明股市在中东和北非地区之间在整个采样频率较低合作运动的程度比较高，而这些依赖对样本期间结束时增加。 1. Introduction A series of ?nancial sector reforms, including liberalizing domestic stock markets, embarked on by emerging markets since the 1990s, has led to an upsurge of academic research exploring the international linkages between these markets and global markets. The implications of liberalizing stock markets include the facilitating of domestic (foreign) investors in liberalized emerging markets to freely trade foreign (domestic) assets. Consequently, international fund managers are afforded additional opportunities to bene?t