The study of the rate of convergence in the stock exchange market of the persian gulf countries

Abstract

Stock exchange is one of the main pillars and principles of the country’s economy and paying attention to this organization not only flourishes and promotes it, but also causes the growth and development of the national economy. For this reason, the factors that affect this organization should be analyzed to develop it through the obtained results. Sudden shocks of the market, global financial crises and the  increase of vitality of stock returns at an international level during the past years have created some concerns to managers and investors. The study of the presence
and absence of the effectiveness of global financial markets from each other can  significantly help the prediction of global crises and timely performance to these crises. This study used the stock price index of the Persian Gulf countries available on formal informational databases for 5 years (2005-2010) as daily in order to study the long-term convergence between the price index of the stock exchange in the Persian Gulf countries. In this study, the relationship between the indices was examined by correlation analysis method and the stationary of series related to  each country by the Augmented Dicky Fuller test and the long term convergence by Johansson cointegration method. The study results show the most of these countries have a high correlation and the relationship between these countries is significant. The results of Johansson cointegration test in the both tested methods of max-Eigenvalue proved 3 long term convergence equations and Static Trace
proved 6 long term convergence equations at 0/05 significance level.

Keywords: correlation, long term convergence, cointegration, price index