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Oil prices and MENA stock markets:New evidence from nonlinear and asymmetric causalities during and after the crisis period

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  • Ahdi Noomen Ajmi
  • Ghassen El Montasser
  • Shawkat Hammoudeh
  • Duc Khuong Nguyen

Abstract

This article investigates the potential of nonlinear causal relationships between world oil prices and stock markets in MENA countries during a black swan period that is characterized by rarity and devastating impacts. By using the nonlinear and asymmetric causality test of Kyrtsou and Labys (2006), we mainly find that: i) oil prices and MENA stock markets interact in a nonlinear manner; ii) the signs of changes in the causing variables are important for detecting the true causality links between the variables; and iii) the nonlinear causality is more pronounced in the case of the Brent than WTI oil prices.

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Bibliographic Info

Paper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-079.

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Length: 17 pages
Date of creation: 06 Jan 2014
Date of revision:
Handle: RePEc:ipg:wpaper:2014-079

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Keywords: MENA countries; stock markets; oil prices; nonlinear causality.;

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  1. Miller, J. Isaac & Ratti, Ronald A., 2009. "Crude oil and stock markets: Stability, instability, and bubbles," Energy Economics, Elsevier, vol. 31(4), pages 559-568, July.
  2. Hamilton, James D., 2003. "What is an oil shock?," Journal of Econometrics, Elsevier, vol. 113(2), pages 363-398, April.
  3. Kim, Won Joong & Hammoudeh, Shawkat, 2013. "Impacts of global and domestic shocks on inflation and economic growth for actual and potential GCC member countries," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 298-317.
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  10. Kyrtsou, Catherine & Labys, Walter C., 2006. "Evidence for chaotic dependence between US inflation and commodity prices," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 256-266, March.
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  16. Papapetrou, Evangelia, 2001. "Oil price shocks, stock market, economic activity and employment in Greece," Energy Economics, Elsevier, vol. 23(5), pages 511-532, September.
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Cited by:
  1. Derek Bunn & Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2014. "Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices," Working Papers 2014-414, Department of Research, Ipag Business School.
  2. Zied Ftiti & Khaled Guesmi & Frédéric Teulon & Slim Chouachi, 2014. "Evolution of Crude Oil Prices and Economic Growth: The case of OPEC Countries," Working Papers 2014-421, Department of Research, Ipag Business School.

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