Dynamic Relationship between the US Stock Market and the Stock Markets of MENA Economics

This paper is based on an investigation to explore the dynamic relationship between US stock market index and three other stock indices of the Middle East and North Africa (MENA). This is accomplished by using discrete wavelet filtering, applied to daily data set from 6/29/2001 to 5/5/2009. After that co integration test and VEC model are used to determine the long run and short run relationship between these stock markets. Co integration test confirms the existence of co integration between the studied series, and shows that there is a long run relationship between the US stock market and MENA stock markets, while the VEC model shows that there is a short run relationship between the aforesaid stock markets.