Sectoral cointegration and causality analyses of the UAE financial markets

Author First name, Last name, Institution

Jay Squalli, Zayed University

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.

ISSN

1744-6546

Publisher

Informa UK Limited

Volume

3

Issue

5

First Page

327

Last Page

334

Disciplines

Business

Scopus ID

34548569483

Indexed in Scopus

yes

Open Access

no

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