12 citations · 15 across the 3 of their papers we have counts for
3 papers
q-fin.ST2009★ 3 cited
Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects
Mohamed El Hedi Arouri
In this paper, we test a partially segmented ICAPM for two developed markets, two emerging markets and World market, using an asymmetric extension of the multivariate GARCH process…
q-fin.ST2009★ 12 cited
Stock market integration in the Latin American markets: further evidence from nonlinear modeling
Fredj Jawadi, Nicolas Million, Mohamed El Hedi Arouri
This article studies the financial integration between the six main Latin American markets and the US market in a nonlinear framework. Using the threshold cointegration techniques…
q-fin.GN2009
Structural Breaks in the Mexico's Integration into the World Stock Market
Mohamed El Hedi Arouri, Jamel Jouini
This article investigates the evolution of the Mexican stock market integration into the world market. First, we estimate the time-varying Mexican degree of market integration usin…