Oil prices and MENA stock markets: new evidence from nonlinear and asymmetric causalities during and after the crisis period
Ahdi Noomen Ajmi,
Shawkat Hammoudeh and
Duc Khuong Nguyen
Authors registered in the RePEc Author Service: Ghassen El Montasser
Applied Economics, 2014, vol. 46, issue 18, 2167-2177
This article investigates the potential of nonlinear causal relationships between world oil prices and stock markets in Middle East and North Africa (MENA) countries during a black swan period that is characterized by rarity and devastating impacts. Our study is carried out using the daily data for 11 MENA countries over the period from 2 July 2007 to 27 August 2012. By using the nonlinear and asymmetric causality test of Kyrtsou and Labys (2006), we mainly find that: (i) the oil prices and MENA stock markets interact in a nonlinear manner; (ii) the signs of changes in the causing variables are important for detecting the true causality links between the variables and (iii) the nonlinear causality is more pronounced in the case of the Brent than West Texas Intermediate oil prices.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (51) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
Working Paper: Oil prices and MENA stock markets:New evidence from nonlinear and asymmetric causalities during and after the crisis period (2014)
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:taf:applec:v:46:y:2014:i:18:p:2167-2177
Ordering information: This journal article can be ordered from
Access Statistics for this article
Applied Economics is currently edited by Anita Phillips
More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().