The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries

Ibrahim Onour

MPRA Paper from University Library of Munich, Germany

Abstract: This paper employs extreme downside risk measures to estimate the impact of the global financial crisis in 2008/2009 on equity markets in major oil producing Middle East countries. The results in the paper indicate the spillover effect of the global crisis varied from a country to another, but most hardly affected market among the group of six markets was Dubai financial market in which portfolio loss reached about 42 per cent. This indicates that Dubai debt crisis, which emerged on surface in 2009, exacerbated the impact of the global financial crisis and prolonged the recovery process in these markets.

Keywords: Value at risk; Fat-tails distribution; Expected Shortfall; Extreme losses. (search for similar items in EconPapers)
JEL-codes: C01 F30 G12 (search for similar items in EconPapers)
Date: 2010-06-15
New Economics Papers: this item is included in nep-ara, nep-ene, nep-fmk and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Related works:
Working Paper: The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:23332

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