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

Basel Awartani, Farrukh Javed, Aktham Maghyereh, Nader Virk Orcid Logo

Review of Development Finance, Volume: 8, Issue: 2, Pages: 116 - 126

Swansea University Author: Nader Virk Orcid Logo

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DOI (Published version): 10.1016/j.rdf.2018.11.001

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 ma...

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Published in: Review of Development Finance
ISSN: 1879-9337
Published: Elsevier BV 2018
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URI: https://cronfa.swan.ac.uk/Record/cronfa58092
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spelling 2021-10-22T16:01:37.2494970 v2 58092 2021-09-24 Time-varying transmission between oil and equities in the MENA region: New evidence from DCC-MIDAS analyses 26403610d08295bd38e7947e39c457b9 0000-0001-6338-2198 Nader Virk Nader Virk true false 2021-09-24 BAF 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. Journal Article Review of Development Finance 8 2 116 126 Elsevier BV 1879-9337 GARCH-MIDAS; DCC-MIDAS; Risk transfer; Oil; MENA Equities 1 12 2018 2018-12-01 10.1016/j.rdf.2018.11.001 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University 2021-10-22T16:01:37.2494970 2021-09-24T17:00:21.4120097 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Basel Awartani 1 Farrukh Javed 2 Aktham Maghyereh 3 Nader Virk 0000-0001-6338-2198 4 58092__21021__5f30a97cf10941eeb865e879002949d5.pdf 58092.pdf 2021-09-27T16:48:16.6196873 Output 2134793 application/pdf Version of Record true This is an open access article under the CC BY-NC-ND license true eng http://creativecommons.org/licenses/by-nc-nd/4.0/
title Time-varying transmission between oil and equities in the MENA region: New evidence from DCC-MIDAS analyses
spellingShingle Time-varying transmission between oil and equities in the MENA region: New evidence from DCC-MIDAS analyses
Nader Virk
title_short Time-varying transmission between oil and equities in the MENA region: New evidence from DCC-MIDAS analyses
title_full Time-varying transmission between oil and equities in the MENA region: New evidence from DCC-MIDAS analyses
title_fullStr Time-varying transmission between oil and equities in the MENA region: New evidence from DCC-MIDAS analyses
title_full_unstemmed Time-varying transmission between oil and equities in the MENA region: New evidence from DCC-MIDAS analyses
title_sort Time-varying transmission between oil and equities in the MENA region: New evidence from DCC-MIDAS analyses
author_id_str_mv 26403610d08295bd38e7947e39c457b9
author_id_fullname_str_mv 26403610d08295bd38e7947e39c457b9_***_Nader Virk
author Nader Virk
author2 Basel Awartani
Farrukh Javed
Aktham Maghyereh
Nader Virk
format Journal article
container_title Review of Development Finance
container_volume 8
container_issue 2
container_start_page 116
publishDate 2018
institution Swansea University
issn 1879-9337
doi_str_mv 10.1016/j.rdf.2018.11.001
publisher Elsevier BV
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
document_store_str 1
active_str 0
description 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.
published_date 2018-12-01T04:14:20Z
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score 11.013619

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