Time-varying transmission between oil and equities in the MENA region: New evidence from DCC-MIDAS analyses

IF 0.7 Q4 BUSINESS, FINANCE

Review of Development Finance Pub Date : 2018-12-01 DOI:10.1016/j.rdf.2018.11.001

Basel Awartani , Farrukh Javed , Aktham Maghyereh , Nader Virk

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引用次数: 8

Abstract

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.

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中东和北非地区石油和股票之间的时变传导:来自DCC-MIDAS分析的新证据

在本文中，我们使用DCC-MIDAS(动态条件相关混合数据抽样)模型来推断2006年2月至2017年4月期间五个中东和北非国家的石油和股票之间的关联。该模型表明，较高的石油回报往往会降低沙特市场的长期风险，但会增加其他市场的风险。人们发现，从石油到中东和北非股市的风险转移很弱。石油和股票之间的动态条件相关性并不总是正的，并且在样本期间出乎意料地改变了符号。然而，当油价大幅下跌以及在高波动性时期，这种联系总是会加强。最后，我们发现短期关联偶尔会脱离长期相关性，尤其是在埃及和土耳其。这些影响模式和关联是独特的，对有兴趣投资能源和中东和北非股票的股票投资组合经理具有重要影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Development Finance Economics, Econometrics and Finance-Finance

CiteScore

0.80

自引率

0.00%

发文量