Date of Award

Summer 2005

Document Type


Degree Name

Doctor of Philosophy (PhD)


Business Administration-Finance

Committee Director

Mohammad Najand

Committee Member

Kenneth Yung

Committee Member

Larry Filer


This dissertation examines overreaction, seasonality, and relationship among Middle East and North Africa (MENA) stock markets. The dissertation is organized in five chapters. The first chapter is introduction to the dissertation and its importance. The second chapter will discuss the MENA capital market developments in the last few years, examine the human and economic development for countries in MENA, and try to find similarities and differences between them. Then the discussion will shift to an overview of the GCC, Levant, and NA regions. Finally, there will be a discussion about economic reform and development in MENA capital markets.

Then, the third chapter investigates the evidence of winner-loser reversals in the national stock market indices of 12 countries from March 1994 to March 2004. The results indicate the consistent with the prediction of the overreaction hypothesis that national indices reversals occur after the formation period similar to the findings of Richards (1995). The reversals phenomenon occurs during the third year of the testing period. This is consistent with other studies and findings that support the overreaction.

The fourth chapter examines the monthly seasonality in 12 MENA national stock markets. The results are mix, we find that Bahrain and Egypt have January effect; however, Bahrain has a negative significant return in January rather positive. In addition, our results show significant Sell-in-May strategy in Morocco and Turkey. However, the results show some markets contradict both January and the Sell-in-May effects. Bahrain and UAE stock markets have a significant positive return in the summer and a negative return in winter.

Finally, chapter five investigates the existence of linkage among 12 MENA equity indices and regions. Using State Space procedure, the findings indicate that no causality or spillover from one country to another in North Africa region. The results for Levant region reveal that there are linkages between Turkish and Lebanese stock markets while either does not influence Jordan's market. However, GCC region show more interaction and linkage than North Africa and Levant regions. Furthermore, we find that GCC region influences North Africa and Levant region. We contribute the dominance of GCC region to its sheer size relative to the other two regions.


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