Bulletin n. 1/2015
June 2015
CONTENTS
  • Section A) The theory and practise of the federal states and multi-level systems of government
  • Section B) Global governance and international organizations
  • Section C) Regional integration processes
  • Section D) Federalism as a political idea
    • Guesmi Khaled, Teulon 
Frédéric
    The determinants of regional stock market integration in middle east: A conditional ICAPM approach
    in Economie internationale , n° 137, 2014/1 ,  2015
    Over recent years, several emerging market regions have actively taken part in globalisation movements and world market integration. However, the financial integration processes appear to vary over time, and differ considerably from one region to another. This paper investigates intra-regional integration in the Middle East region during the period 1996–2008 using an international conditional Capital Asset Pricing Model (ICAPM) version that allows for dynamic changes in the degree of regional market integration, global risk premium, currency risk premium and local market risk premium.
Our findings show that inflation, exchange rate volatility, variations in interest rate spread and global market dividend yields are key intra-regional integration variables in the Middle East context. Moreover, despite the complex economic and political situation that characterises the Middle East, our results indicate that stock markets in this area are well integrated in the regional market.
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