scholarly journals Dynamic Spillover Between The Oil And Stock Markets Of Emerging Oil-Exporting Countries

2013 ◽  
Vol 30 (1) ◽  
pp. 51 ◽  
Author(s):  
Frederic Teulon ◽  
Khaled Guesmi
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
United Arab Emirates ◽  
Stock Markets ◽  
Oil Prices ◽  
Multivariate Garch ◽  
Time Varying ◽  
Global Business ◽  
Stock Market Returns ◽  
Volatility Spillovers

<p>The paper investigates the time-varying correlations between stock market returns and oil prices in oil-exporting countries. A multivariate GARCH-DCC process is employed to evaluate this relationship based on data from Venezuela, the United Arab Emirates, Saudi Arabia and Kuwait. The results show that there are time-varying correlations between the oil and stock markets in emerging, oil-producing countries, indicating that they are affected by conditions in world markets. In addition, the relationship between oil prices and stock returns is found to be influenced by the origin of shocks to oil prices, with stock market responses being stronger to demand-side shocks caused by political turmoil or fluctuations in the global business cycle than to supply-side shocks caused by cuts in oil production. The results also provide evidence of volatility spillovers between the oil and stock markets.</p>

Crude oil and GCC stock markets

2020 ◽  
Vol 14 (4) ◽  
pp. 745-756 ◽  
Author(s):  
Abdullah Alqahtani ◽  
Amine Lahiani ◽  
Ali Salem
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Oil Prices ◽  
Least Square ◽  
Data Series ◽  
Causality Test ◽  
Stock Market Returns ◽  
Content Type ◽  
Gcc Countries

Purpose This paper aims to investigate the transmission of international oil prices to the stock market indices of the Gulf Cooperation Council (GCC) countries over the weekly period from April 07, 2004, to August 15, 2018. Design/methodology/approach The authors use the augmented Dickey–Fuller (ADF) unit root test to check the order of integration of data series. Afterward, the authors use the ordinary least square method to determine the spillover of international oil prices to the stock markets of GCC countries while accounting for the time-varying volatility of oil and stock market returns through the generalized autoregressive conditional heteroskedasticity. Then, the Johansen (1991) cointegration test is used to determine the long-run equilibrium relationship. Finally, the Granger (1969) causality test is used to determine the short-run causal effects between oil and the stock markets returns of GCC countries. Findings The findings indicate that the stock markets of GCC countries are efficient and respond significantly to international oil prices and evidence of high volatility associated with oil returns. Originality/value Investors and portfolio managers should consider the association between international oil prices and GCC stock returns when allocating their funds for diversification strategy. Moreover, policymakers should better understand the behavior of local stock markets.

A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Slah Bahloul ◽  
Nawel Ben Amor
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Stock Markets ◽  
Financial Integration ◽  
Ordinary Least Squares ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

scholarly journals A Note on ‘What Drives Share Prices in the Middle East?’

2008 ◽  
Author(s):  
Panos Priftakis ◽  
M. Ishaq Bhatti
Keyword(s):  
Middle East ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Predictive Ability ◽  
Oil Prices ◽  
Unobserved Components ◽  
Market Prices ◽  
Share Prices ◽  
Unobserved Components Model

There are several hypotheses suggesting that some properties of oil prices make it interesting to focus on the predictive ability of oil prices for stock returns. This paper reviews some models recently used in the literature and selects the most suitable one for measuring the relationships and/or linkages of oil prices to the stock markets of the selected five oil producing countries in the Middle East. In particular, the paper uses two methodologies to test for the presence of a cointegrating relationship between the two variables and an unobserved components model to find a relationship between the two variables. The results rejects convincingly that there is no linkage between the prices of oil and the stock market prices in these oil-based economies.  

scholarly journals Are Kuwaiti Stock Returns Affected by Fluctuations in Oil Prices?

2020 ◽  
Vol 11 (6) ◽  
pp. 1
Author(s):  
Salem Alshihab ◽  
Nayef AlShammari
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Oil Prices ◽  
Market Returns ◽  
Macroeconomic Factors ◽  
Stock Market Returns ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
Adf Test

This paper examines the impact of fluctuations in the price of oil on Kuwaiti stock market returns for the month-to-month period of 2000 to 2020. The Augmented Dickey-Fuller (ADF) test for stationarity, the error correction model (ECM), and various cointegration test techniques were used to examine the estimated model. In an oil-based economy like Kuwait, the exposure to oil prices seems to affect the performance of the country’s stock market. Our main findings related to the long run showed that the price of oil is cointegrated with stock market returns. Interestingly, our ECM examination confirmed that changes in Kuwaiti stock market returns are only affected by oil price fluctuations in the short run. Further strategies are needed to better stabilize Kuwait’s capital market. This equilibrium can be achieved by pursuing more stability in other macroeconomic factors and providing a solid legal independence for the country’s financial market.

scholarly journals Co-movements in stock market returns, Ireland and London 1869–1929

2017 ◽  
Vol 24 (2) ◽  
pp. 167-184 ◽  
Author(s):  
Rebecca Stuart
Keyword(s):  
Stock Market ◽  
Capital Gains ◽  
Free State ◽  
Time Varying ◽  
Market Returns ◽  
Stock Market Returns ◽  
Monthly Data ◽  
Volatility Spillovers ◽  
Bivariate Garch Model ◽  
The Relationship

This article studies the relationship between the Irish and London stock markets over the period 1869 to 1929, using monthly data on capital gains. A bivariate GARCH model shows that there were significant volatility spillovers from the London to the Irish market, but not vice versa. This suggests that shocks originating in London were transmitted to Ireland, but that the reverse did not occur. Furthermore, the time-varying correlation indicates that the co-movement between London and Ireland declined during the Irish independence struggle and the establishment of the Irish Free State. The correlation appears to stabilise in the late 1920s.

scholarly journals Testing the conditional correlations and volatility spillovers between US and ASEAN Islamic stock markets: A Multivariate GARCH Analysis

2015 ◽  
Vol 2 (1) ◽  
pp. 029
Author(s):  
Muhammad Rizky Prima Sakti
Keyword(s):  
Stock Markets ◽  
Multivariate Garch ◽  
Garch Models ◽  
Time Varying ◽  
Foreign Investors ◽  
Volatility Spillovers ◽  
The Us ◽  
Conditional Correlations ◽  
Multivariate Garch Models ◽  
Empirical Design

This study examines the conditional correlations and volatility spillovers between the US and ASEAN Islamic stock markets. The empirical design uses MSCI (Morgan Stanley Capital International) Islamic indexes as it adopted stringent restriction to include companies in sharia list. By using a three multivariate GARCH models (BEKK, diagonal VECH, and CCC model), we find evidence of returns and volatility spillovers from the US to the ASEAN Islamic stock markets. However, as the estimated time-varying conditional correlations and volatilities indicate there is still a room for diversification benefits, particularly in the single markets. The Islamic MSCI of Thailand, Indonesia, and Singapore are less correlate to the US MSCI Islamic index. The implication is that foreign investors may benefit from the reduction of risk by adding the Islamic stocks in those countries.

scholarly journals The Impact of Coronavirus Pandemic on Stock Market Return: The Case of the MENA Region

2020 ◽  
Vol 12 (12) ◽  
pp. 100
Author(s):  
Amr Arafa ◽  
Nader Alber
Keyword(s):  
Stock Market ◽  
United Arab Emirates ◽  
Stock Markets ◽  
Stock Market Index ◽  
Mena Region ◽  
Stock Market Returns ◽  
Market Return ◽  
Stock Market Return ◽  
June July ◽  
The Impact

This paper attempts to investigate the impact of Coronavirus spread on the stock markets of MENA region. Coronavirus has been measured by cumulative total cases, cumulative total deaths, new cases and new deaths, while stock market return is measured by &Delta; in the stock market index. This has been applied on stock markets of 7 countries (Egypt, Jordan, Morocco, Qatar, Saudi Arabia, United Arab Emirates, and Tunisia), on daily basis during the period from March 1, 2020, to July 24, 2020. Results indicate that stock market returns in the MENA countries tend to be negatively affected Coronavirus cumulative deaths and Coronavirus new deaths. A robustness check has been conducted for each country during the whole period, showing significant effect of Coronavirus cumulative cases in Jordan and Tunisia and significant effect of Coronavirus cumulative deaths in Jordan, Morocco and Tunisia, without any evidence about the effects of Coronavirus new cases and Coronavirus new cases. After splitting the research period into 4 sub-periods (March, April, May, June- July 24), results support the impact of &ldquo;cumulative Coronavirus cases&rdquo; on stock market return in Jordan during May and in Morocco during April. Besides, the impact of &ldquo;cumulative Coronavirus deaths&rdquo; has been supported in in Morocco during April, and in Tunisia during March and June-July. Moreover, &ldquo;new Coronavirus cases&rdquo; seems to have a significant impact in Jordan during May and in Tunisia during March. Also, &ldquo;new Coronavirus deaths&rdquo; shows a significant effect in Morocco during May.

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