Naser I. Abumustafa

New evidence of the validity of purchasing power parity from Jordan

Most empirical studies on purchasing power parity (PPP) have focused on developed countries rather than developing countries. This study tests PPP in Jordan. Different unit root tests and three different base countries are used to determine if the validity of PPP is influenced by the type of test and/or the base country. The results show that PPP in Jordan is not sensitive to the choice of base country but is influenced by test type.

Benefiting from diversity in Middle Eastern stock markets

This study examines the potential integration between Middle Eastern stock markets, in particular Egypt, Israel, Jordan, Morocco, Saudi Arabia and Turkey. In a geographical area where there are extreme political and ideological differences, we find gains from financial market integration in the areas of efficiency and diversification. The study presents empirical evidence of cointegration between stock market capitalization and GDP in these countries, which shows that stock market growth is tied to economic growth. We also present some institutional detail in order to develop practical suggestions to strengthen Middle Eastern stock markets.

Do Domestic Firms Benefit from Multinational Enterprises? A Meta-Analysis of the Empirical Research

Meta-analysis is a statistical technique that allows one to combine the results from multiple studies to glean inferences on the overall importance of a certain phenomenon. This study employs a substantive meta-analysis approach to quantitatively summarize the results of empirical studies of the direct impact of multinational companies on productivity spillovers in host countries. When all the available estimates are combined and averaged, there seems to be a small significant positive effect of multinational companies on productivity spillovers in host countries (average effect size = .06, aggregate N = 124,143). The findings of this study significantly refine the body of knowledge concerning the impact of multinational companies on productivity spillovers in host countries, and thereby offer an improved conceptual framework for researchers and policymakers.

Recursive Cointegration Analysis of Purchasing Power Parity: An Application to Asian Countries

Previous studies have utilized conventional cointegration tests that are based on the assumption that the long-run purchasing power parity (PPP) relationship is stable over the sample period. This assumption can be misleading if there were significant economic and policy changes over the sample period. To allow for the possibility of instability in the long-run PPP relationship, we utilize recursive cointegration analysis to test for the stability of cointegrating ranks and parameters. The results indicate evidence of cointegration for Korea, Malaysia, and Singapore, and a short window for Thailand around the 1997/98 Asian crisis with no evidence of structural breaks in the cointegrating vectors. Evidence of turbulence is detected around the 1997/98 crisis, the 1985 Plaza Accord, and around 1978-1984. Longrun parameters appear to have been stable for Malaysia, the Philippines, and Singapore, whereas instable for Indonesia, Korea, and Thailand.

Insider trading during the 2008 financial crisis

The literature suggests that insider trading may outperform the stock market by buying or selling stocks of the company in the short run and/or long run. For this research, we construct a daily index consisting of the most liquid and large company for each tested market: New York Stock Exchange (NYSE) and Kuwait Stock Exchange (KSE) to test for insider trading. Our finding indicates that insider trading at NYSE and KSE outperform the market in the short run only. The results suggest that both types of insider trading, buying or selling, are profitable in the short run. At the same time, our results conclude that all insiders trading are not profitable in the long run. Stocks that were sold or bought by insiders underperform the market in the long run. We also conclude that both types of insider trading activities significantly increased during the last quarter of 2008 and the first 2 months of 2009 in both NYSE and KSE.