Oil prices and stock market interplay in Dubai

Shruthi Murali, S. Thiyagarajan and Naresh Gopal

International Journal of Management Practice, 2021, vol. 14, issue 1, 107-127

Abstract: This study examines the relationship between Dubai Financial Market General Index (DFMGI) and two important crude oil price indices, West Texas Intermediate (WTI) and Brent. Granger causality tests followed by a robustness check using the vector autoregression model are run on daily logarithmic returns of the variables during the period 2008-2015 with particular attention paid to two quarters before, during and after the two major oil price crashes during the period (in 2008 and in 2014). The results show that DFMGI is affected by crude oil prices only during periods of low oil prices. Furthermore, Dubai Financial Market is affected by WTI prices rather than Brent prices. The study also reveals that WTI spot prices cause Brent spot prices.

Keywords: DFMGI; West Texas Intermediate; WTI; Brent; volatility; vector autoregression model; Granger causality. (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=111773 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:ijmpra:v:14:y:2021:i:1:p:107-127

Access Statistics for this article

More articles in International Journal of Management Practice from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().