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SAFA MAATOUQ AHMED AL
MOHANA
Department of Business Administration
College of Business and Economics
Title
An Empirical Investigation of the UAE Stock Markets
Faculty Advisor
Prof. Abdulnasser Hatemi
Defense Date
29 November 2015
Abstract
This thesis consists of six chapters. The first provides an overall introduction. The second offers a retrospective review
of the development of the financial markets in the UAE from their start until now. The third chapter investigates
empirically the causal nexus of the Abu Dhabi and Dubai stock markets in order to assess the degree of integration
between these two domestic markets. To our best knowledge, this is the first attempt to explore domestic financial
market integration within the context of the UAE. The fourth chapter extends the analysis in order to examine the
degree of financial market integration of the UAE with regard to the global market. The fifth chapter deals with the
impact of the recent real estate financial crisis on the UAE real estate market, which is considered an important sector
for the economic development of the country. Chapter 6 examines the dynamic impact of oil prices on the stock
market. Our methods consist of both symmetric and asymmetric causality tests, which are used in Chapters 36-.
When testing for causality, we do not make any distributional assumptions. We generate critical values via bootstrap
simulations with leverage adjustments. This approach is expected to be more accurate since the underlying data set
is usually non-normal with time varying volatility. We also make use of the asymmetric generalized impulse response
functions in Chapter 5 and the last chapter. Allowing for asymmetric impacts is considered to be in line with the
way that markets generally operate since it is widely agreed that people in the financial world tend to react more to
negative news than positive news. Our conjecture is that the empirical findings which this thesis offers can be useful
to both investors and policy makers in the UAE
Dissertation