2016
DOI: 10.4236/oalib.1103218
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Conditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns of Middle East Countries

Abstract: This paper reveals the conditional correlations and fluctuation spillovers between oil price shocks and stock markets indices in Middle East countries, over the period from March 2000 to March 2015, by using the BEKK-GARCH, DCC-GARCH models. The results show strong evidence of fluctuation spillovers between the price of WTI to all exporting and oil importing stock indexes. The results further show that the estimates of the conditional correlations are always significant. Time-varying correlations of crude oil … Show more

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Cited by 6 publications
(5 citation statements)
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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%
“…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%
“…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%
“…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%