Arab Journal of Administration المجلة العربية للإدارة


This study aims to examine impact effect and cumulative effect between the three financial markets (Amman Stock Exchange, Muscat stock Exchange and Bahrain Stock Exchange, the study applied the following tests, unit root, and integration Joint Johansen test, then applied the Auto Regressive Distributed model (ARDL), using monthly data for the closing prices for the period from month 3/2008 until 12/2011, to examine the impact effect and cumulative effect between the three markets, which is very important for the investors when they built their portfolios in these markets.The results show the existence of impact effect in the short –run and the cumulative effect between Oman and Bahrain stock markets, where the effect of the Amman Stock on Bahrain stock market is 0.98 and the impact of Bahrain on the Amman Stock Exchange is 0.585, the effect of Muscat stock market on the Bahrain stock market is 3.825, which is the highest effect between these markets, while the effect of Bahrain on the Muscat is 0.100 and the absence of impact and cumulative effect between Amman and Muscat stock markets, and the presence of impact effect between those markets may due to the effectiveness of the legislation imposed by those countries that allow greater freedom of movement of investors, which led to the rapid response of a particular market to a changes that occur in other market, also the existence of the cumulative effects between stock markets may due to the response of one of the two markets to the historical events that have occurred in the other market, and this means the possibility to take advantage of information about historical events to other markets to make investment decisions and achieve abnormal profits.