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Oil prices and MENA stock markets: new evidence from nonlinear and asymmetric causalities during and after the crisis period
Journal article   Open access   Peer reviewed

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 and Duc Khuong Nguyen
Applied economics, v 46(18), pp 2167-2177
23 Jun 2014
DOI: https://doi.org/10.1080/00036846.2014.896987
Featured in Collection :   UN Sustainable Development Goals @ Drexel
url
https://faculty-research.ipag.edu/wp-content/uploads/recherche/WP/IPAG_WP_2014_079.pdfView
SubmittedOpen Access (License Unspecified),  Open

Abstract

MENA countries nonlinear causality oil prices stock markets
This article investigates the potential of nonlinear causal relationships between world oil prices and stock markets in Middle East and North Africa (MENA) countries during a black swan period that is characterized by rarity and devastating impacts. Our study is carried out using the daily data for 11 MENA countries over the period from 2 July 2007 to 27 August 2012. By using the nonlinear and asymmetric causality test of Kyrtsou and Labys (2006), we mainly find that: (i) the 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 West Texas Intermediate oil prices.

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55 citations in Web of Science
62 citations in Scopus

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UN Sustainable Development Goals (SDGs)

This publication has contributed to the advancement of the following goals:

#8 Decent Work and Economic Growth

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Domestic collaboration
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Web of Science research areas
Economics
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