On the dynamic interactions between energy and stock markets under structural shifts: Evidence from Egypt
Walid Ahmed ()
Research in International Business and Finance, 2017, vol. 42, issue C, 61-74
This study aims to provide empirical evidence on the presence, direction, and magnitude of both first and second moment spillover effects between Egypt’s stock market on the one hand and the global crude oil and natural gas markets on the other, with particular attention to the potential for structural breaks. The interdependence structure between the stock market and energy commodity counterparts is explored using a bivariate VAR(l)-EGARCH(p,q) model augmented with shift dummies in the conditional mean and conditional variance functions. The results suggest the existence of both unidirectional mean and variance spillover effects from oil and gas markets to the stock counterpart. Asymmetric volatility responses to oil and gas price shocks are observed. Additionally, the results underline the relevance of the structural changes detected to the mean and volatility dynamics. The evidence presented in this study provides policy implications for investors and regulators.
Keywords: Energy markets; Egyptian stock exchange; Structural breaks; First and second moment spillover effects; VAR-EGARCH model (search for similar items in EconPapers)
JEL-codes: C58 F30 G15 Q40 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:42:y:2017:i:c:p:61-74
Access Statistics for this article
Research in International Business and Finance is currently edited by T. Lagoarde Segot
More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().