Oil prices and MENA stock markets:New evidence from nonlinear and asymmetric causalities during and after the crisis period
AbstractThis 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 InfoPaper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-079.
Length: 17 pages
Date of creation: 06 Jan 2014
Date of revision:
MENA countries; stock markets; oil prices; nonlinear causality.;
Other versions of this item:
- Ahdi Noomen Ajmi & Ghassen El-montasser & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Oil prices and MENA stock markets: new evidence from nonlinear and asymmetric causalities during and after the crisis period," Applied Economics, Taylor & Francis Journals, vol. 46(18), pages 2167-2177, June.
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-02-21 (All new papers)
- NEP-ARA-2014-02-21 (MENA - Middle East & North Africa)
- NEP-ENE-2014-02-21 (Energy Economics)
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