SHORT- AND LONG-RUN TAIL DEPENDENCE SWITCHING IN MENA STOCK MARKETS: THE ROLES OF OIL, BITCOIN, GOLD AND VIX

Walid Mensi (), Shawkat Hammoudeh (), Aviral Tiwari and Khamis Al-Yahyaee4 ()
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Walid Mensi: College of Economics and Political Science, Sultan Qaboos University
Shawkat Hammoudeh: Lebow College of Business, Drexel University, Philadelphia, United States
Khamis Al-Yahyaee4: Department of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University

No 1345, Working Papers from Economic Research Forum

Abstract: This paper examines the left and right tail dependence-switching structure between twelve MENA stock markets, and oil and other major global factors. We compare the MENA–oil tail dependence with that of Bitcoin, gold, and VIX. Using a recent combined wavelet and dependence-switching copula approach, we show evidence of significant tail dependence between MENA stock markets and oil and the other global factors. The dependence structure varies across the associated different regimes and under both the short- and long-term horizons. Moreover, the safe haven role of gold is more apparent in the long term than in the short term for all MENA markets, and this result is similar for Bitcoin but is less evident for VIX. We conclude by providing policy implications.

Pages: 58
Date: 2019-09-20, Revised 2019-09-20
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Published by The Economic Research Forum (ERF)

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