Measuring Co-Movements and Linkages between Nigeria and the UAE Stock Exchanges: Is there Opportunity for Portfolio Building?

Journal of Advanced Research in Economics and Administrative Sciences

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Field Value
 
Title Measuring Co-Movements and Linkages between Nigeria and the UAE Stock Exchanges: Is there Opportunity for Portfolio Building?
 
Creator Abdullahi, Shafiu
 
Subject Stock Market Linkage, Portfolio Diversification, ARDL, GMM, Nigeria, UAE
 
Description Purpose: The main objective of this study is to examine the relationship between Nigerian Stock Exchange and Dubai stock exchange with the aim of finding out the direction of movements between their respective indices.
Approach/Methodology/Design: The methodology adopted for the analysis is ARDL cointegration model and the Generalized Method of Moment (GMM). This is because of their known efficiency in detecting patterns between variables.
Findings: The result of the short-run analysis using GMM shows that there is existence of short-run causality between the Dubai financial market (DFM) and the Nigerian stock exchange (NSE). Thus, for investors looking for short- run arbitrage opportunity between the markets, they shall look elsewhere. But, the result of bound testing has shown lack of cointegration between the two markets. This is a sign of existence of opportunities for portfolio diversification between Nigeria stock exchange and Dubai financial market, since the two markets are not cointegrated in the long-run.
Practical Implications: The study helps bridge the empirical literature gap in stock market integration and portfolio diversification with reference to the Nigeria and UAE. It will, therefore, guide local and foreign investors with interest in Nigeria and UAE Stock Exchanges. It will also guide Nigerian and UAE policy makers to understand the market better, especially as it concerns financial contagion.
Originality/value: This study provides further evidence on stock market integration in emerging markets. New researches shall adopt different methodology such as use of volatility tracking models to measure volatility linkage between the markets.
 
Publisher Baynoon Centre for Studies and Development
 
Date 2020-11-08
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://bcsdjournals.com/index.php/jareas/article/view/124
10.47631/jareas.v1i2.124
 
Source Journal of Advanced Research in Economics and Administrative Sciences; Vol. 1 No. 2 (2020): Journal of Advanced Research in Economics and Administrative Sciences; 106-122
2708-9320
 
Language eng
 
Relation https://bcsdjournals.com/index.php/jareas/article/view/124/58
 
Rights https://creativecommons.org/licenses/by/4.0
 

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