Financial Market Theory of Development – evidence from Palestine and Israeli Stock Exchanges
This study is compelled by the motivation to find out potential equilibrium and dynamic relationships involving two neighboring stock exchanges - Palestine Stock Exchange (PEX) and Tel Aviv Stock Exchange (TASE). Based upon Financial Market Theory of Development, we attempt to explore the degree o...
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| Format: | Article |
| Language: | en |
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Penerbit Universiti Kebangsaan Malaysia
2016
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| Online Access: | http://journalarticle.ukm.my/10794/1/8209-43001-1-PB.pdf http://journalarticle.ukm.my/10794/ http://ejournal.ukm.my/pengurusan/issue/view/805 |
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| author | Abdul Razak Abdul Hadi, Yap, Eddy Tat Hiung Shadi Ali Hamad, Tahir Iqbal, |
| author_facet | Abdul Razak Abdul Hadi, Yap, Eddy Tat Hiung Shadi Ali Hamad, Tahir Iqbal, |
| author_sort | Abdul Razak Abdul Hadi, |
| building | Tun Sri Lanang Library |
| collection | Institutional Repository |
| content_provider | Universiti Kebangsaan Malaysia |
| content_source | UKM Journal Article Repository |
| continent | Asia |
| country | Malaysia |
| description | This study is compelled by the motivation to find out potential equilibrium and dynamic relationships involving two
neighboring stock exchanges - Palestine Stock Exchange (PEX) and Tel Aviv Stock Exchange (TASE). Based upon
Financial Market Theory of Development, we attempt to explore the degree of integration between the two exchanges
using Engle-Granger Cointegration procedures (1987). Data were collected on monthly basis over sample period
from January 1998 till February 2012. The empirical results from bivariate Error Correction Model (ECM) reveal a
statistically significant long-term relation between the two exchanges. However, the results from Granger Causality
tests indicate absence of short-term relationships between them. To unveil Granger Causality in a dynamic context,
we use out-of-sample testing via Impulse-Response Functions (IRF) and Variance Decompositions (VDC.) Interestingly,
both tests show that performance of TASE does affect its archrival. |
| format | Article |
| id | my-ukm.journal-10794 |
| institution | Universiti Kebangsaan Malaysia |
| language | en |
| publishDate | 2016 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| record_format | eprints |
| spelling | my-ukm.journal-107942017-10-10T12:49:35Z http://journalarticle.ukm.my/10794/ Financial Market Theory of Development – evidence from Palestine and Israeli Stock Exchanges Abdul Razak Abdul Hadi, Yap, Eddy Tat Hiung Shadi Ali Hamad, Tahir Iqbal, This study is compelled by the motivation to find out potential equilibrium and dynamic relationships involving two neighboring stock exchanges - Palestine Stock Exchange (PEX) and Tel Aviv Stock Exchange (TASE). Based upon Financial Market Theory of Development, we attempt to explore the degree of integration between the two exchanges using Engle-Granger Cointegration procedures (1987). Data were collected on monthly basis over sample period from January 1998 till February 2012. The empirical results from bivariate Error Correction Model (ECM) reveal a statistically significant long-term relation between the two exchanges. However, the results from Granger Causality tests indicate absence of short-term relationships between them. To unveil Granger Causality in a dynamic context, we use out-of-sample testing via Impulse-Response Functions (IRF) and Variance Decompositions (VDC.) Interestingly, both tests show that performance of TASE does affect its archrival. Penerbit Universiti Kebangsaan Malaysia 2016 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/10794/1/8209-43001-1-PB.pdf Abdul Razak Abdul Hadi, and Yap, Eddy Tat Hiung and Shadi Ali Hamad, and Tahir Iqbal, (2016) Financial Market Theory of Development – evidence from Palestine and Israeli Stock Exchanges. Jurnal Pengurusan, 46 . pp. 33-42. ISSN 0127-2713 http://ejournal.ukm.my/pengurusan/issue/view/805 |
| spellingShingle | Abdul Razak Abdul Hadi, Yap, Eddy Tat Hiung Shadi Ali Hamad, Tahir Iqbal, Financial Market Theory of Development – evidence from Palestine and Israeli Stock Exchanges |
| title | Financial Market Theory of Development – evidence from Palestine and Israeli
Stock Exchanges |
| title_full | Financial Market Theory of Development – evidence from Palestine and Israeli
Stock Exchanges |
| title_fullStr | Financial Market Theory of Development – evidence from Palestine and Israeli
Stock Exchanges |
| title_full_unstemmed | Financial Market Theory of Development – evidence from Palestine and Israeli
Stock Exchanges |
| title_short | Financial Market Theory of Development – evidence from Palestine and Israeli
Stock Exchanges |
| title_sort | financial market theory of development – evidence from palestine and israeli
stock exchanges |
| url | http://journalarticle.ukm.my/10794/1/8209-43001-1-PB.pdf http://journalarticle.ukm.my/10794/ http://ejournal.ukm.my/pengurusan/issue/view/805 |
| url_provider | http://journalarticle.ukm.my/ |