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Short- And Long-Run Tail Dependence Switching In Mena Stock Markets: The Roles Of Oil, Bitcoin, Gold And Vix

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  • Walid Mensi

    (College of Economics and Political Science, Sultan Qaboos University)

  • Shawkat Hammoudeh

    (Lebow College of Business, Drexel University, Philadelphia, United States)

  • Aviral Kumar Tiwari

    (Montpellier Business School, Montpellier, France)

  • Khamis Hamed Al-Yahyaee

    (Department of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University)

Abstract

This paper examines the left and right tail dependence-switching structure between twelve MENA stock markets, and oil and other major global factors. We compare the MENA–oil tail dependence with that of Bitcoin, gold, and VIX. Using a recent combined wavelet and dependence-switching copula approach, we show evidence of significant tail dependence between MENA stock markets and oil and the other global factors. The dependence structure varies across the associated different regimes and under both the short- and long-term horizons. Moreover, the safe haven role of gold is more apparent in the long term than in the short term for all MENA markets, and this result is similar for Bitcoin but is less evident for VIX. We conclude by providing policy implications.

Suggested Citation

  • Walid Mensi & Shawkat Hammoudeh & Aviral Kumar Tiwari & Khamis Hamed Al-Yahyaee, 2019. "Short- And Long-Run Tail Dependence Switching In Mena Stock Markets: The Roles Of Oil, Bitcoin, Gold And Vix," Working Papers 1345, Economic Research Forum, revised 20 Sep 2019.
    • Handle: RePEc:erg:wpaper:1345
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    Cited by:

    1. Wang, Peijin & Zhang, Hongwei & Yang, Cai & Guo, Yaoqi, 2021. "Time and frequency dynamics of connectedness and hedging performance in global stock markets: Bitcoin versus conventional hedges," Research in International Business and Finance, Elsevier, vol. 58(C).
    2. Balcilar, Mehmet & Ozdemir, Huseyin & Agan, Busra, 2022. "Effects of COVID-19 on cryptocurrency and emerging market connectedness: Empirical evidence from quantile, frequency, and lasso networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).

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