Financial Market Theory of Development – evidence from Palestine and Israeli Stock Exchanges

This study is compelled by the motivation to find out potential equilibrium and dynamic relationships involving two neighboring stock exchanges - Palestine Stock Exchange (PEX) and Tel Aviv Stock Exchange (TASE). Based upon Financial Market Theory of Development, we attempt to explore the degree o...

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Main Authors:	Abdul Razak Abdul Hadi, Yap, Eddy Tat Hiung, Shadi Ali Hamad, Tahir Iqbal
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2016
Online Access:	http://journalarticle.ukm.my/10794/ http://journalarticle.ukm.my/10794/ http://journalarticle.ukm.my/10794/1/8209-43001-1-PB.pdf

id	ukm-10794
recordtype	eprints
spelling	ukm-107942017-10-10T12:49:35Z http://journalarticle.ukm.my/10794/ Financial Market Theory of Development – evidence from Palestine and Israeli Stock Exchanges Abdul Razak Abdul Hadi, Yap, Eddy Tat Hiung Shadi Ali Hamad, Tahir Iqbal, This study is compelled by the motivation to find out potential equilibrium and dynamic relationships involving two neighboring stock exchanges - Palestine Stock Exchange (PEX) and Tel Aviv Stock Exchange (TASE). Based upon Financial Market Theory of Development, we attempt to explore the degree of integration between the two exchanges using Engle-Granger Cointegration procedures (1987). Data were collected on monthly basis over sample period from January 1998 till February 2012. The empirical results from bivariate Error Correction Model (ECM) reveal a statistically significant long-term relation between the two exchanges. However, the results from Granger Causality tests indicate absence of short-term relationships between them. To unveil Granger Causality in a dynamic context, we use out-of-sample testing via Impulse-Response Functions (IRF) and Variance Decompositions (VDC.) Interestingly, both tests show that performance of TASE does affect its archrival. Penerbit Universiti Kebangsaan Malaysia 2016 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/10794/1/8209-43001-1-PB.pdf Abdul Razak Abdul Hadi, and Yap, Eddy Tat Hiung and Shadi Ali Hamad, and Tahir Iqbal, (2016) Financial Market Theory of Development – evidence from Palestine and Israeli Stock Exchanges. Jurnal Pengurusan, 46 . pp. 33-42. ISSN 0127-2713 http://ejournal.ukm.my/pengurusan/issue/view/805
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	This study is compelled by the motivation to find out potential equilibrium and dynamic relationships involving two neighboring stock exchanges - Palestine Stock Exchange (PEX) and Tel Aviv Stock Exchange (TASE). Based upon Financial Market Theory of Development, we attempt to explore the degree of integration between the two exchanges using Engle-Granger Cointegration procedures (1987). Data were collected on monthly basis over sample period from January 1998 till February 2012. The empirical results from bivariate Error Correction Model (ECM) reveal a statistically significant long-term relation between the two exchanges. However, the results from Granger Causality tests indicate absence of short-term relationships between them. To unveil Granger Causality in a dynamic context, we use out-of-sample testing via Impulse-Response Functions (IRF) and Variance Decompositions (VDC.) Interestingly, both tests show that performance of TASE does affect its archrival.
format	Article
author	Abdul Razak Abdul Hadi, Yap, Eddy Tat Hiung Shadi Ali Hamad, Tahir Iqbal,
spellingShingle	Abdul Razak Abdul Hadi, Yap, Eddy Tat Hiung Shadi Ali Hamad, Tahir Iqbal, Financial Market Theory of Development – evidence from Palestine and Israeli Stock Exchanges
author_facet	Abdul Razak Abdul Hadi, Yap, Eddy Tat Hiung Shadi Ali Hamad, Tahir Iqbal,
author_sort	Abdul Razak Abdul Hadi,
title	Financial Market Theory of Development – evidence from Palestine and Israeli Stock Exchanges
title_short	Financial Market Theory of Development – evidence from Palestine and Israeli Stock Exchanges
title_full	Financial Market Theory of Development – evidence from Palestine and Israeli Stock Exchanges
title_fullStr	Financial Market Theory of Development – evidence from Palestine and Israeli Stock Exchanges
title_full_unstemmed	Financial Market Theory of Development – evidence from Palestine and Israeli Stock Exchanges
title_sort	financial market theory of development – evidence from palestine and israeli stock exchanges
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2016
url	http://journalarticle.ukm.my/10794/ http://journalarticle.ukm.my/10794/ http://journalarticle.ukm.my/10794/1/8209-43001-1-PB.pdf
first_indexed	2023-09-18T19:58:27Z
last_indexed	2023-09-18T19:58:27Z
_version_	1777406687368445952

Financial Market Theory of Development – evidence from Palestine and Israeli Stock Exchanges

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