nep-ara New Economics Papers
on Arab World
Issue of 2013‒01‒19
four papers chosen by
Quentin Wodon
World Bank

  1. Fiscal Space in the Arab Countries By Khalid Abu-Ismail; Rathin Roy; Raquel Almeida Ramos
  2. Sectoral equity returns and portfolio diversification opportunities across the GCC region By Balli, Faruk; Basher, Syed Abul; Jean Louis, Rosmy
  3. Response to Meera’s critique of the ZDBM By Hasan, Zubair
  4. The International Integration of the Eastern Europe and two Middle East Stock Markets By José Soares da Fonseca

  1. By: Khalid Abu-Ismail (Macroeconomics and Poverty Advisor in UNDP?s Sub-Regional Resource Facility for the Arab States); Rathin Roy (International Policy Centre for Inclusive Growth); Raquel Almeida Ramos (IPC-IG)
    Keywords: Fiscal Space in the Arab Countries
    Date: 2012–08
  2. By: Balli, Faruk; Basher, Syed Abul; Jean Louis, Rosmy
    Abstract: We examine the spillover effects of local and global shocks on Gulf Cooperation Council (GCC)-wide sector equity returns. We find the GCC-wide sector returns have asynchronous responses to global and regional shocks. Although the effects of these shocks differ in magnitude across individual GCC-wide sector returns, there is evidence that the GCC-wide sector equity markets are mostly driven by their own volatilities. For the basic materials, telecom and utility sectors, the effects of regional and global shocks are lower in magnitude in comparison to the rest of the GCC-wide sector indices. Applying a time-varying spillover model, we also indicate that the effect of global shocks on the volatility of GCC sector returns has been decreasing, whereas regional shocks have been affecting the sector indices with a positive and significant trend. We also document that portfolios diversified across GCC-wide sectors perform better than portfolios diversified across GCC national equity markets. To some extent, portfolios diversified with a mix of GCC-wide sector and national equities produce higher returns than portfolios made up of pure GCC national equity indices or GCC-wide sector indices.
    Keywords: GCC stock markets; Portfolio diversification; Sectoral equity indices
    JEL: G12 G15
    Date: 2013–01–10
  3. By: Hasan, Zubair
    Abstract: This paper responds to the criticism of the Zubair Diminishing Balance model for Islamic home financing that Ahmad Kameel Meera published in the ISRA Journal. The response argues that most of the comments of Meera are frivolous and misplaced. It reiterates that the ZDBM is much different from other models; it is cheaper for the customer without being costlier to the bank. more efficient in resource allocation and improves liquidity in the financial system. However, the mathematical appendix is a positive contribution of the paper.
    Keywords: Islamic home financing; conventional model; BBA; MMP; ZDBM; Segmental murabahah
    JEL: G21
    Date: 2013–01–13
  4. By: José Soares da Fonseca (Faculty of Economics University of Coimbra and GEMF, Portugal)
    Abstract: This article studies the international integration of twelve Eastern Europe Stock Markets and two Middle East Stock Markets. It is commonly accepted that the returns in these markets have a low correlation with the other markets, which means that they are still weakly integrated in the world financial market. This assumption is the object of the empirical analysis in the present article, in which the co-integration of each of these national stock markets with the international market is estimated. Co-integration is a well adapted methodology to study the international integration of stock markets, since it puts in evidence, simultaneously, the long-term relation between the stock prices of a domestic market and those representing the international market and the short-term relation between the changes in those prices. The results obtained show that, in general, these stock markets are co-integrated with one or more international indexes.
    Keywords: financial integration, stock markets, structure breaks.
    JEL: F36 F37 G15
    Date: 2012–12

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