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On the dynamic interactions between energy and stock markets under structural shifts: Evidence from Egypt

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  • Ahmed, Walid M.A.

Abstract

This study aims to provide empirical evidence on the presence, direction, and magnitude of both first and second moment spillover effects between Egypt’s stock market on the one hand and the global crude oil and natural gas markets on the other, with particular attention to the potential for structural breaks. The interdependence structure between the stock market and energy commodity counterparts is explored using a bivariate VAR(l)-EGARCH(p,q) model augmented with shift dummies in the conditional mean and conditional variance functions. The results suggest the existence of both unidirectional mean and variance spillover effects from oil and gas markets to the stock counterpart. Asymmetric volatility responses to oil and gas price shocks are observed. Additionally, the results underline the relevance of the structural changes detected to the mean and volatility dynamics. The evidence presented in this study provides policy implications for investors and regulators.

Suggested Citation

  • Ahmed, Walid M.A., 2017. "On the dynamic interactions between energy and stock markets under structural shifts: Evidence from Egypt," Research in International Business and Finance, Elsevier, vol. 42(C), pages 61-74.
    • Handle: RePEc:eee:riibaf:v:42:y:2017:i:c:p:61-74
    DOI: 10.1016/j.ribaf.2017.05.006
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    More about this item

    Keywords

    Energy markets; Egyptian stock exchange; Structural breaks; First and second moment spillover effects; VAR-EGARCH model;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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