Financial Market Theory of Development – Evidence from Palestine and Israeli Stock Exchanges
Teori Pembangunan Pasaran Kewangan – Bukti daripada Pasaran Saham Palestine dan Israel

UniKL Business School
Universiti Kuala Lumpur
1016 Jalan Sultan Ismail
50250 Kuala Lumpur, MALAYSIA.

abdrazak@unikl.edu.my

UniKL Business School
Universiti Kuala Lumpur
1016 Jalan Sultan Ismail
50250 Kuala Lumpur, MALAYSIA.

eddythyap@gmail.com

UniKL Business School
Universiti Kuala Lumpur
1016 Jalan Sultan Ismail
50250 Kuala Lumpur, MALAYSIA.

hamad_shadi@yahoo.com

UniKL Business School
Universiti Kuala Lumpur
1016 Jalan Sultan Ismail
50250 Kuala Lumpur, MALAYSIA.

tahir@unikl.edu.my

Abstract

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.

Keywords

Al-Quds index; bivariate error correction model; financial market theory of development; Tel Aviv – 100 index

Citation

Abdul Hadi, A. R., Hiung, E. Y. T, Hamad, S. A, & Iqbal, T. (2016). Financial Market Theory of Development – Evidence from Palestine and Israeli Stock Exchanges. Jurnal Pengurusan, 46, 33–42.

@article{abdulhadi2016financial,
  title={Financial Market Theory of Development – Evidence from Palestine and Israeli Stock Exchanges},
  author={Abdul Hadi, Abdul Razak and Hiung, Eddy Yap Tat and Hamad, Shadi Ali and Iqbal, Tahir},
  journal={Jurnal Pengurusan},
 

volume={46},
  number={},
  pages={33—42},
  year={2016},
  doi={},
  publisher={Penerbit UKM},
}

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46 (2016) 33 – 42

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