Conditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns of Middle East Countries

Aimer, Nagmi

doi:10.4236/oalib.1103218

Cited by 6 publications

(5 citation statements)

References 37 publications

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“…Aimer ( 2016 ) investigated the conditional correlation and spillover fluctuations between oil price shocks and stock market indices in Middle East countries during 2000–2015 using multivariate GARCH models (BEKK-GARCH and DCC-GARCH). The results show significant spillover effects from Texas oil prices (WTI) on the stock indices of both oil exporting and importing countries.…”

Section: Literature Reviewmentioning

confidence: 99%

Examining the spillover effects of volatile oil prices on Iran’s stock market using wavelet-based multivariate GARCH model

2022

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Fluctuations in the oil market can significantly influence various sectors of the economy, such as the stock markets of countries that rely heavily on oil revenues. Oil prices are one of the key influential external factors affecting the stock exchange index of oil-dependent Iran. This paper investigates the spillover effects of oil prices on Iran’s stock exchange index weekly from March 2009 to March 2020. Using a time-series wavelet decomposition approach, a series of OPEC oil prices and Iran’s total stock market index were decomposed into various time scales (4 levels) to analyze oil market spillover into the stock market using the multivariate GARCH TBEKK model. The results confirmed that volatility spillover from the oil to the stock market occurred in all the time scales (short, medium, and long term). However, the spillover in the long term is more pronounced than over the short, demonstrating that stock market volatility is strongly influenced by long-term exogenous oil price fluctuations. Hence, oil market shocks are one of the influential factors affecting stock market turbulence in Iran.

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Section: Literature Reviewmentioning

confidence: 99%

Examining the spillover effects of volatile oil prices on Iran’s stock market using wavelet-based multivariate GARCH model

2022

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“…It is not linked to oil prices only, but to the speculative factor in the markets. In the Middle East, a study [1]; it was mentioned that the conditional relationship and the widely dispersed fluctuations between oil price returns and stock market indices in the Middle East, based on monthly data between 2000 and 2015. The researcher divided the Middle East countries into two groups: oil importers and oil exporters, and the group of importing countries is (Turkey, Jordan, Lebanon and Egypt), while the exporting countries are (Saudi Arabia, UAE, Qatar, Bahrain, Kuwait and Oman), using the oil price index (West Texas Intermediate crude (W).…”

Section: Literature Reviewmentioning

confidence: 99%

Effect of Oil Prices Fluctuation on Stock Indices-Comparative Study

Al-Dahlaki¹,

Hussein²,

Ahmed³

2021

SAR Journal

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The study aims to examine the nature of the relationship and the effect of oil price fluctuations on stock indices in the financial markets of exporting and importing countries. For achieving that, the price of Brent crude oil was chosen as an index from the stock markets in Saudi Arabia, Russia and Iraq as oilexporting countries. While the market index was chosen from the markets of New York, Shanghai and Nikkei as an oil importer. The study came out with a set of conclusions and recommendations. The most important is that the degree of response of stock indices to fluctuations in oil prices was greater in exporting countries than in importing countries.

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“…The development of oil prices indicates that the price of oil collapsed into a negative position for the first time in history on April 20, 2020, trading under $ 0, due to increased supply and lower demand for crude oil caused by a coronavirus. In addition, oil price fluctuations have interesting effects on economic activity [2][3][4][5][6][7][8][9][10][11] .…”

Section: Introductionmentioning

confidence: 99%

Do Oil Price Shocks and COVID-19 Lead to Policy Uncertainty?

Aimer

2022

macro. manag. & public. polic.

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This study examines the asymmetric effects of the structural oil price shocks and COVID-19 pandemic on four uncertainty indexes. The author used the SVAR approach for the period 31-Dec-2019 to 28-Jun-2020. The results indicate that the effects are asymmetric of oil price shocks. The author also finds that COVID-19 shocks lead to positive responses to the economic policy uncertainty index. In addition, oil prices (their shocks) have a negative impact on the four indicators of uncertainty. Consequently, governments should actively take effective measures to prevent crude oil prices from shocking and maintain stable economic policies.

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Conditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns of Middle East Countries

Cited by 6 publications

References 37 publications

Examining the spillover effects of volatile oil prices on Iran’s stock market using wavelet-based multivariate GARCH model

Examining the spillover effects of volatile oil prices on Iran’s stock market using wavelet-based multivariate GARCH model

Effect of Oil Prices Fluctuation on Stock Indices-Comparative Study

Do Oil Price Shocks and COVID-19 Lead to Policy Uncertainty?

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