Faculty Scholarship 1994 - Present
Co-Movements of the U.S., U.K., and Middle East Stock Markets
In this paper, we study the co-movements of the weekly index returns of the Egyptian, Israeli, Jordanian, Turkish, U.K., and U.S. stock markets during the September 9, 1996-September 11, 2006 period. Our findings indicate that there is a very low correlation between the Egyptian, Israeli, Jordanian, and Turkish stock markets. Therefore, these Middle East stock markets provide attractive portfolio diversification opportunities for investors. We find considerable volatility in the time-varying yearly rolling correlations between the markets. We use the principal components analysis (PCA) technique to study the co-movement patterns of the correlations between the markets. Time varying correlation between national stock markets has been investigated in recent previous studies. To best of our knowledge, this is the first empirical study in the literature that investigates the correlation between the correlation patterns of national stock markets with the PCA technique.