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Modeling the frequency dynamics of spillovers and connectedness between crude oil and MENA stock markets with portfolio implications

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  • Mensi, Walid
  • Al-Yahyaee, Khamis Hamed
  • Vo, Xuan Vinh
  • Kang, Sang Hoon

Abstract

This paper examines the frequency of spillovers between crude oil futures and the Middle East and North Africa (MENA) stock markets. We use the methodologies proposed by Diebold and Yilmaz (2012) and Baruník and Křehlík (2018) and the wavelet coherency approach. The results show time-varying volatility spillovers in the considered markets. The short-term spillovers are higher than their intermediate-term counterparts. The highest jump in spillovers occurs during the COVID-19 outbreak, followed by the global financial crisis and the recent oil price crash. The spillovers are higher for oil-exporting countries than oil-importing countries. Saudi Arabia, Qatar, and the United Arab Emirates (UAE) are the main contributors to spillovers in the short and intermediate terms. Brent oil, Egypt, Morocco, and Turkey are the net receivers of spillovers in the short term, and they switch to become net contributors to spillovers in the intermediate term. Turkey and oil-exporting stock markets receive more spillovers than oil-importing stock markets irrespective of the time frequency. Wavelet analysis shows evidence of co-movements between oil futures and stock markets at intermediate and low frequencies. The lead–lag relationships between crude oil and stock markets are mixed and time-varying. Moreover, a mixed portfolio offers diversification benefits. Hedging is more expensive during the pandemic period and particularly in the intermediate term compared to the short term. Hedging effectiveness is highest during the COVID-19 pandemic in the short and intermediate terms for almost all markets.

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  • Mensi, Walid & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Modeling the frequency dynamics of spillovers and connectedness between crude oil and MENA stock markets with portfolio implications," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 397-419.
    • Handle: RePEc:eee:ecanpo:v:71:y:2021:i:c:p:397-419
    DOI: 10.1016/j.eap.2021.06.001
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    Keywords

    Oil; MENA stock markets; Spillovers; Frequencies; Hedging;
    All these keywords.

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    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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