This dissertation investigates into the causal relationships among past oil price movements and stock markets across a region of 15 MENA countries, in a symmetric and asymmetric perspective, quantifying the interaction between the oil price volatility and the stock markets returns. Several findings are obtained through the VAR-GARCH modeling procedure, in relevance to daily and monthly data. Regarding the daily data, through the SEM models, I outline statistical significant relationship in a group of countries while through the VAR models, the majority of the countries present no statistical significant relationship between stock markets and oil price volatility, which is obtained through GARCH-M and EGARCH-M models for the symmetric and asymmetric way, respectively
Collections
Show Collections
