This article examines the relative influence of the US, UK and Japan on Middle Eastern Emerging Markets (MEEMs). The empirical results, from maximum likelihood regressions, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models and Vector Autoregression (VAR) estimates, provide...

Vector Auto Regression (VAR) and Beysian Vector Auto-Regression (BVAR) models are used to trace the dynamic linkages across daily returns of stock market indexes in the Middle East and the United States, and to investigate how a shock in one market is transmitted to other markets. The Middle...