Abstract
We examine whether data frequency, day of the week and econometric methodology matter in analyzing financial market integration. As case study, we investigate equity market comovements between Saudi Arabia and a set of international economies. Our findings take the literature forward and indicate that cross-market linkages are weak and subsample-dependent regardless of whether data are daily, weekly (whatever the weekday) or monthly and whatever the econometric approach. The results are relevant for investors who want to be more informed of promising investment opportunities, and for financial makers to take necessary policies to hedge against the effects of shocks.
•We study the financial integration of Saudi Arabia into international economies.•Equity market integration is found to be weak and subsample-dependent.•The results are robust to data frequency, day of the week and econometric approach.•The results have important implications for investors and financial makers.