{"id":"https://openalex.org/W613367813","doi":null,"title":"Stochastic Trends and Stock Prices in Emerging Markets: The Case of Middle East and North Africa Region","display_name":"Stochastic Trends and Stock Prices in Emerging Markets: The Case of Middle East and North Africa Region","publication_year":2001,"publication_date":"2001-01-01","ids":{"openalex":"https://openalex.org/W613367813","mag":"613367813"},"language":"en","primary_location":{"id":"pmh:oai:RePEc:bor:iserev:v:5:y:2001:i:17:p:1-22","doi":null,"is_oa":false,"landing_page_url":"http://www.borsaistanbul.com/datum/imkbdergi/EN/ISE_Review_17.pdf","pdf_url":"http://www.borsaistanbul.com/datum/imkbdergi/EN/ISE_Review_17.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},"volume":null,"type":"article","indexed_in":[],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5087669021","display_name":"Lokman G\u00fcnd\u00fcz","orcid":"https://orcid.org/0000-0003-4180-4470","observed_orcids":["https://orcid.org/0000-0003-4180-4470"]},"institutions":[{"id":"https://openalex.org/I8666313","display_name":"Beykent University","ror":"https://ror.org/03dcvf827","country_code":"TR","type":"education","lineage":["https://openalex.org/I8666313"]}],"countries":["TR"],"is_corresponding":false,"raw_author_name":"Lokman G\u00fcnd\u00fcz","raw_affiliation_strings":["Beykent University"],"raw_orcid":"https://orcid.org/0000-0003-4180-4470","affiliations":[{"raw_affiliation_string":"Beykent University","institution_ids":["https://openalex.org/I8666313"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5013628952","display_name":"Mohammed Omran","orcid":"https://orcid.org/0000-0002-4399-4557","observed_orcids":["https://orcid.org/0000-0002-4399-4557"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Mohammed Omran","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0002-4399-4557","affiliations":[]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.1356,"has_fulltext":false,"cited_by_count":21,"citation_normalized_percentile":{"value":0.85736599,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"5","issue":"17","first_page":"1","last_page":"22"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.6693999767303467,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.6693999767303467,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.27250000834465027,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.0364999994635582,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stochastic-trend","display_name":"stochastic trend","score":0.8759999871253967},{"id":"https://openalex.org/keywords/unit-roots","display_name":"unit roots","score":0.7549999952316284},{"id":"https://openalex.org/keywords/stock-prices","display_name":"stock prices","score":0.6669999957084656},{"id":"https://openalex.org/keywords/emerging-stock-markets","display_name":"emerging stock markets","score":0.796999990940094},{"id":"https://openalex.org/keywords/middle-east-and-north-africa","display_name":"Middle East and North Africa","score":0.9070000052452087},{"id":"https://openalex.org/keywords/stock-market-segmentation","display_name":"stock market segmentation","score":0.6179999709129333},{"id":"https://openalex.org/keywords/cointegration","display_name":"cointegration","score":0.9210000038146973},{"id":"https://openalex.org/keywords/international-diversification","display_name":"international diversification","score":0.7319999933242798},{"id":"https://openalex.org/keywords/stock-price-predictability","display_name":"stock price predictability","score":0.6859999895095825},{"id":"https://openalex.org/keywords/turkey","display_name":"Turkey","score":0.5120000243186951},{"id":"https://openalex.org/keywords/israel","display_name":"Israel","score":0.9959999918937683},{"id":"https://openalex.org/keywords/egypt","display_name":"Egypt","score":0.9990000128746033},{"id":"https://openalex.org/keywords/morocco","display_name":"Morocco","score":0.9959999918937683},{"id":"https://openalex.org/keywords/jordan","display_name":"Jordan","score":1.0}],"concepts":[{"id":"https://openalex.org/C145162277","wikidata":"https://www.wikidata.org/wiki/Q1751675","display_name":"Cointegration","level":2,"score":0.8163958191871643},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.7383313179016113},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.7372900247573853},{"id":"https://openalex.org/C195561663","wikidata":"https://www.wikidata.org/wiki/Q1307899","display_name":"Unit root","level":2,"score":0.6771993041038513},{"id":"https://openalex.org/C180916674","wikidata":"https://www.wikidata.org/wiki/Q3711935","display_name":"Diversification (marketing strategy)","level":2,"score":0.5940504670143127},{"id":"https://openalex.org/C121087249","wikidata":"https://www.wikidata.org/wiki/Q546395","display_name":"Emerging markets","level":2,"score":0.5797162055969238},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5586971044540405},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.5384770035743713},{"id":"https://openalex.org/C3651065","wikidata":"https://www.wikidata.org/wiki/Q7204","display_name":"Middle East","level":2,"score":0.43151283264160156},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4066306948661804},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.374883234500885},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.16916003823280334},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.1413557231426239},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.11424911022186279},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.0},{"id":"https://openalex.org/C162853370","wikidata":"https://www.wikidata.org/wiki/Q39809","display_name":"Marketing","level":1,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"pmh:oai:RePEc:bor:iserev:v:5:y:2001:i:17:p:1-22","doi":null,"is_oa":false,"landing_page_url":"http://www.borsaistanbul.com/datum/imkbdergi/EN/ISE_Review_17.pdf","pdf_url":"http://www.borsaistanbul.com/datum/imkbdergi/EN/ISE_Review_17.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"mag:613367813","doi":null,"is_oa":false,"landing_page_url":"https://www.borsaistanbul.com/datum/imkbdergi/EN/ISE_Review_17.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S2765044417","display_name":"Istanbul Stock Exchange Review","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Istanbul Stock Exchange Review","raw_type":null}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":51,"referenced_works":["https://openalex.org/W86881936","https://openalex.org/W329472544","https://openalex.org/W1484445487","https://openalex.org/W1484799109","https://openalex.org/W1486451543","https://openalex.org/W1496268815","https://openalex.org/W1556487974","https://openalex.org/W1577157323","https://openalex.org/W1587141723","https://openalex.org/W1588163064","https://openalex.org/W1909227410","https://openalex.org/W1967031021","https://openalex.org/W1968591556","https://openalex.org/W1975994995","https://openalex.org/W1993871151","https://openalex.org/W1997346282","https://openalex.org/W2006568420","https://openalex.org/W2019975447","https://openalex.org/W2027981622","https://openalex.org/W2034707435","https://openalex.org/W2035008408","https://openalex.org/W2037556547","https://openalex.org/W2038621549","https://openalex.org/W2048119156","https://openalex.org/W2051431496","https://openalex.org/W2056315819","https://openalex.org/W2062090301","https://openalex.org/W2062703146","https://openalex.org/W2074158860","https://openalex.org/W2077627780","https://openalex.org/W2090673133","https://openalex.org/W2091165963","https://openalex.org/W2095364399","https://openalex.org/W2099520003","https://openalex.org/W2110603299","https://openalex.org/W2122404477","https://openalex.org/W2125520394","https://openalex.org/W2128633294","https://openalex.org/W2131951660","https://openalex.org/W2144487825","https://openalex.org/W2150779817","https://openalex.org/W2153562738","https://openalex.org/W2165145231","https://openalex.org/W2171168084","https://openalex.org/W2280131726","https://openalex.org/W2892285611","https://openalex.org/W3023063214","https://openalex.org/W3123185352","https://openalex.org/W3123598380","https://openalex.org/W3123792419","https://openalex.org/W3123912718"],"related_works":["https://openalex.org/W1593459463","https://openalex.org/W2511738712","https://openalex.org/W2189021854","https://openalex.org/W2150492888","https://openalex.org/W2104018403","https://openalex.org/W2054463369","https://openalex.org/W1580065113","https://openalex.org/W3016628046","https://openalex.org/W4390517127","https://openalex.org/W2149819580"],"abstract_inverted_index":{"In":[0],"this":[1],"paper,":[2],"the":[3,76,99,118],"individual":[4],"stochastic":[5,41,78],"structure":[6],"of":[7,10,21,50,83,90,102,120],"a":[8,40,51,81],"log":[9],"weekly":[11],"stock":[12,58,64,86,100,125],"indices":[13],"from":[14,27,123],"Turkey,":[15],"Israel,":[16],"Egypt,":[17],"Morocco":[18],"and":[19,43,62,107],"Jordan":[20],"MENA":[22,103],"markets":[23,101],"are":[24,45,60,71,105],"investigated.":[25],"Results":[26],"different":[28],"unit":[29,52],"root":[30,53],"tests":[31],"indicate":[32],"that":[33,55],"all":[34],"five":[35],"series":[36],"seem":[37],"to":[38,57,74],"contain":[39],"trend":[42],"thus":[44],"nonstationary":[46],"in":[47,80,94,115],"levels.":[48],"Presence":[49],"implies":[54,117],"shocks":[56],"prices":[59,65],"permanent":[61],"consequently,":[63],"may":[66],"not":[67,109],"be":[68],"predictable.":[69],"Tests":[70],"also":[72],"conducted":[73],"examine":[75],"common":[77],"trends":[79],"system":[82],"these":[84,95],"emerging":[85,96],"prices.":[87],"No":[88],"evidence":[89],"cointegration":[91],"is":[92],"detected":[93],"markets.":[97],"Therefore,":[98],"region":[104],"segmented":[106],"do":[108],"exhibit":[110],"any":[111],"long-run":[112],"co-movements.":[113],"This":[114],"turn":[116],"existence":[119],"potential":[121],"gains":[122],"international":[124],"market":[126],"diversification.":[127]},"counts_by_year":[{"year":2021,"cited_by_count":1},{"year":2016,"cited_by_count":3},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":3}],"updated_date":"2026-09-26T08:19:03.415552","created_date":"2016-06-24T00:00:00"}