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dc.contributor.author
Mouchikas, Grigorios
en
dc.date.accessioned
2017-05-02T10:47:50Z
dc.date.available
2017-05-03T00:00:18Z
dc.date.issued
2017-05-02
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/15279
dc.rights
Default License
dc.subject
MENA stock markets
en
dc.subject
Oil price volatility
en
dc.subject
VAR - GARCH models
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dc.subject
SEM models
en
dc.title
Oil price volatility and stock prices across the MENA countries
en
heal.type
masterThesis
el
heal.generalDescription
This thesis investigates into the interaction of oil price movements with the stock price returns in this specific region through different dynamic econometric approaches.
en
heal.keywordURI.LCSH
Petroleum products--Prices--Middle East
heal.keywordURI.LCSH
Econometrics--Statistical methods
heal.keywordURI.LCSH
Econometrics--Data processing
heal.keywordURI.LCSH
Petroleum--Economic aspects
heal.keywordURI.LCSH
Petroleum industry and trade--Economic aspects
heal.keywordURI.LCSH
Petroleum products--Prices--Africa, North
heal.keywordURI.LCSH
Stocks--Prices--Middle East
heal.keywordURI.LCSH
Stocks--Prices--Africa, North
heal.contributorName
Prof. Nicholas Apergis
en
heal.language
en
el
heal.access
free
el
heal.license
http://creativecommons.org/licenses/by-nc/4.0
el
heal.recordProvider
School of Science and Technology, MSc in Energy Management
el
heal.publicationDate
2016-12-23
heal.abstract
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
en
heal.advisorName
Prof. Apergis, Nicholas
en
heal.committeeMemberName
Dr. Dergiades, Theologos
en
heal.committeeMemberName
Prof. Sartzetakis, Eutuchios
en
heal.academicPublisher
IHU
en
heal.academicPublisherID
ihu
el
heal.numberOfPages
145
el
heal.spatialCoverage
Middle East
en
heal.spatialCoverage
North Africa
en
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