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

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

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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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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