Abstract
This article investigates the stock market integration within the Middle East region. We develop a regional dynamic version of the CAPM and estimate it using a multivariate GARCH methodology. We contribute to the financial literature by proposing the first empirical work that addresses the following three questions for emerging stock markets from Middle East region: (i) What factors determine Middle East regional stock market integration? (ii) Is exchange rate risk priced in Middle East emerging stock markets? And (iii) what are the relative contributions of regional and local risk factors to the total risk premium in Middle East emerging stock markets?
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