Sectoral cointegration and causality analyses of the UAE financial markets
Document Type
Article
Source of Publication
Applied Financial Economics Letters
Publication Date
9-1-2007
Abstract
This article investigates cointegration and causality across the common sectors of the Abu Dhabi Securities Market (ADSM) and the Dubai Financial Market (DFM). Cointegration and Granger causality tests yield evidence of a long-run equilibrium and one-way causality from the ADSM to the DFM across the banking sector, the services sector and the general index. The absence of cointegration and causality across the insurance sectors of the ADSM and DFM is consistent with Squalli (2006) in which the insurance sector of the ADSM is the only sector evidenced to be weak-form efficient. This suggests that comovements and cross-market spillovers may only exist in weak-form inefficient sectors.
DOI Link
ISSN
Publisher
Informa UK Limited
Volume
3
Issue
5
First Page
327
Last Page
334
Disciplines
Business
Scopus ID
Recommended Citation
Squalli, Jay, "Sectoral cointegration and causality analyses of the UAE financial markets" (2007). All Works. 3036.
https://zuscholars.zu.ac.ae/works/3036
Indexed in Scopus
yes
Open Access
no