FINANCIAL MARKET INTEGRATION OF MIDDLE EAST AND NORTH AFRICAN (MENA) COUNTRIES

ABSTRACT
This study examines the financial market integration of four emerging economies in
Middle East and North Africa (MENA) region, namely, Saudi Arabia, Tunisia, Egypt and
Oman for a period of April 1999 to December 2008. The study utilizes the GARCH model
by using daily stock prices from the market indices of these four emerging economies.
The results suggest that financial markets in MENA region are integrated among them
and segmented globally during the period of the study. Further, the financial markets in
MENA region are inefficient because of the predictability of the future prices of a market
based on the prices of other markets.