مجلة الاقتصاد والتنمية المستدامة
Volume 7, Numéro 1, Pages 98-115
2024-03-01

Measuring The Degree Of Financial Linkage Between Financial Markets And Their Potential Impact On The Feasibility Of International Portfolio Diversification. - A Case Study Of The Arab Financial Markets For The Mena Region -



Authors : Saadi Larbi . Satouri Djoudi .

Abstract

The study aims to measure the degree of correlation between financial markets and assess its impact on the feasibility of international portfolio diversification. The study focuses on a sample of Arab financial markets in the Middle East and North Africa region, abbreviated as MENA. The sample includes six financial markets representing Jordan, Lebanon, Palestine, Egypt, Morocco, and Tunisia. The study concludes that there is no integration or correlation between these markets, as revealed by the DCC-GARCH model. Consequently, there is potential for international portfolio diversification.

Keywords

International diversification ; financial integration ; internatinal financial market ; portfolio investing ; indices

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