Oil price volatility and stock prices across the MENA countries

 
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2016 (EN)
Oil price volatility and stock prices across the MENA countries (EN)

Mouchikas, Grigorios (EN)

School of Science and Technology, MSc in Energy Management (EL)
Prof. Sartzetakis, Eutuchios (EN)
Prof. Nicholas Apergis (EN)
Dr. Dergiades, Theologos (EN)
Prof. Apergis, Nicholas (EN)

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)

masterThesis

VAR - GARCH models (EN)
MENA stock markets (EN)
Oil price volatility (EN)
SEM models (EN)

Διεθνές Πανεπιστήμιο της Ελλάδος (EL)
International Hellenic University (EN)

2016-12-23


IHU (EN)



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