alexa Abstract | Contagion Effect and Change in the Dependence between Oil and Ten MENA Stock Markets

Research & Reviews: Journal of Statistics and Mathematical Sciences
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Research Article Open Access

Abstract

In this paper, we study the contagion effect between energy and stock markets in ten MENA countries during the recent global financial crisis 2007- 2009. In particular, we verify whether this effect depends on the country’s oil position. For that, we investigate the dependence structure between oil price changes and stock market returns using different copula functions. Specifically, we test for changing in dependence structure using the local change point (LCP) testing procedure. The empirical results provide strong evidence of asymmetric dependence structure between oil price changes and stock market returns for all countries. In addition, this dependence structure is larger in oil-exporters than oil-importers. Furthermore, there is significant change in this dependence structure. For all countries (except Kuwait and Jordan), the copula parameters and the tail dependence coefficients are greater during crisis periods than calm ones, thus indicating the presence of a contagion effect.

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Author(s): Heni Boubaker*, Nadia Sghaier

Keywords

Contagion effect, Oil price, Stock market, Financial crisis, Copulas, LCP, Biometrics ,Biostatistics, Behaviometrics, Combinatorics, Deformation, Geometry, Harmonic analysis, Algebra, Homotopical Algebra,Latin square, Lie theory, Lie Triple Systems, Loop Algebra,Representation theory, Symmetric Space, Topology, Quantum Group, Operad theory, Quasigroup

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