Forward-Looking Beta Estimates:Evidence from an Emerging Market

Results in this paper support evidence of time-varying beta coefficients for five sectors in Kuwait Stock Market. The paper indicates banks, food, and service sectors exhibit relatively wider range of variation compared to industry and real estate sectors. Results of time-varying betas invalidate the standard application of Capital Asset Pricing model that assumes constant beta. In terms of risk exposure, banks and industrial sectors reflect higher risk as their average betas exceed the market beta, which is a unit.CAPM, GARCH ,Volatility, Asymmetry

Financial Integration of GCC Capital Markets:Evidence of Nonlinear Cointegration

This paper employs a nonparametric test to investigate nonlinearity in the long-run equilibrium relationship between GCC stock markets returns. The results in the paper show strong evidence of bivariate and multivariate cointegration between five of GCC stock markets. However, Bahrain stock market is evidenced segmented from the group of GCC markets. It is indicated that there is bivariate nonlinear cointegrating relationship linking Kuwait stock market with each of Saudi, and Dubai markets. Nonlinearity also realized between Saudi market and each of Dubai and Abu-Dhabi markets, as well as between Muscat and Kuwait stock markets.Cointegration;nonlinear,unit roots

Financial Integration of North Africa Stock Markets

This paper investigates long-term relationship that links stock prices of three major North African stock markets: Egypt, Morocco, and Tunisia . The paper shows, there is strong evidence of multivariate and bivariate nonlinear long-term relationship between stock prices of these markets. Nonlinear cointegration between stock prices imply portfolios in these markets are inefficient (systematic risk cannot be diversified away), as movement in the price of one market influence the movement in another market in a predictable direction and disproportionately.cointegration, portfolio, diversification, nonparametric

Crude Oil Prices and Stock Markets in Major Oil Exporting Countries: Evidence on Decoupling Feature

This paper investigates common cyclical features between crude oil market and stock markets in major oil exporting countries including Saudi Arabia, UAE, and Kuwait. The results of the paper indicate, at low oil prices (below $40 per oil barrel) Saudi and Abu-Dhabi markets share common cyclical feature with oil market, but they digress from the oil market as oil prices rose above$40 per barrel. The decoupling feature indicate the capital markets and oil market respond in different pattern to cycle generating shocks, suggesting as higher oil prices may raise global investment risk, stock markets in these countries deflect from their key fundamental driver.Common trends; Shared cycles; nonlinear cointegration

Natural Gas markets:How Sensitive to Crude Oil Price Changes?

This paper investigates sensitivity of U.S. natural gas price to crude oil price changes, using time-varying coefficient models. Identification of the range of variation of the sensitivity of natural gas price to oil price change allows more accurate assessment of upper and minimum risk levels that can be utilized in pricing natural gas derivatives such as gas futures and option contracts, and gas storage facility contracts.Natural gas, Sensitivity, GARCH, Volatility, Skewness, Kurtosis

Financial stability in small open economy under political uncertainty

In this paper we model financial stability in small open economy enduring political uncertainty and operating under dual exchange markets, a free exchange rate applicable to wide range of private capital transactions and controlled exchange rate applicable to some official transactions. The finding in the paper indicate, given that capital outflow is kept at minimal level there exist steady state equilibrium exchange rates. The level of initial official reserves determine the length of time needed for the process to adjust towards a new steady state equilibrium. The lower initial official reserve level is, the longer time is needed to recover from a shock and adjust towards a new equilibrium steady state. When fiscal deficit and declining official reserves force the government to abandon the dual exchange system in favor of floating single exchange rate system, our model predict depreciation of foreign exchange rates is identical to domestic money growth.parallel rate, official rate, Stability, Steady-state.

The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries

This paper employs extreme downside risk measures to estimate the impact of the global financial crisis in 2008/2009 on equity markets in major oil producing Middle East countries. The results in the paper indicate the spillover effect of the global crisis varied from a country to another, but most hardly affected market among the group of six markets was Dubai financial market in which portfolio loss reached about 42 per cent. This indicates that Dubai debt crisis, which emerged on surface in 2009, exacerbated the impact of the global financial crisis and prolonged the recovery process in these markets.Value at risk; Fat-tails distribution; Expected Shortfall; Extreme losses.