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Time-varying transmission between oil and equities in the MENA region: New evidence from DCC-MIDAS analyses
Westminster Business School, Westminster University, London, United Kingdom.
Örebro University, Örebro University School of Business.ORCID iD: 0000-0002-1488-4703
Department of Economics and Finance, United Arab Emirates University, United Arab Emirates.
Plymouth Business School, Plymouth University, Plymouth, United Kingdom.
2018 (English)In: Review of Development Finance, ISSN 1879-9337, E-ISSN 1879-9337, Vol. 8, no 2, p. 116-126Article in journal (Refereed) Published
Abstract [en]

In this paper we use the DCC-MIDAS (Dynamic Conditional Correlation-Mixed Data Sampling) model to infer the association between oil and equities in five MENA countries between February 2006 and April 2017. The model indicates that higher oil returns tends to reduce the long-term risk of the Saudi market, but to increase it in other markets. The risk transfer from oil to MENA equities is found to be weak. The dynamic conditional correlation between oil and equities is not always positive and it unexpectedly changes sign during the sample period. However, the association always strengthens when there is a large draw down in oil prices as well as during periods of high volatility. Finally, we find that short term association occasionally breaks from the longer-term correlation particularly in Egypt and Turkey. These patterns of influence and associations are unique, and have important implications for equity portfolio managers who are interested in investing in energy and MENA equities.

Place, publisher, year, edition, pages
Elsevier, 2018. Vol. 8, no 2, p. 116-126
Keywords [en]
GARCH-MIDAS, DCC-MIDAS, Risk transfer, Oil, MENA Equities
National Category
Business Administration
Identifiers
URN: urn:nbn:se:oru:diva-71148DOI: 10.1016/j.rdf.2018.11.001ISI: 000453435400005Scopus ID: 2-s2.0-85056704769OAI: oai:DiVA.org:oru-71148DiVA, id: diva2:1276505
Available from: 2019-01-08 Created: 2019-01-08 Last updated: 2019-01-08Bibliographically approved

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Javed, Farrukh

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CiteExportLink to record
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Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf