Publication Date

September 2005

Publication Details

Marashdeh, H and Wilson, EJ, Structural Changes in the Middle East Stock Markets: The Case of Israel and Arab Countries, Working Paper 05-22, Department of Economics, University of Wollongong, 2005.


This paper tests for structural changes in the price indices of four stock markets in the Middle East region, namely, Egypt, Turkey Jordan, Morocco and Israel. The Innovational Outlier (IO) model and Additive Outlier (AO) model indicate that all variables show evidence of non-stationarity, I(1), even with structural change. Moreover the coefficients for all dummy variables such as intercept, slope and time of the break are found to be significant and all have the right signs. The endogenously determined times of the breaks for all variables coincides with observed real events for each country, like Asian crises, fluctuation in oil prices and the political conflict in the Middle East.