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Conditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns of Middle East Countries

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dc.contributor.authorAimer, Nagmi M. Moftah
dc.date.accessioned2026-01-02T23:31:46Z
dc.date.issued2016-01-01
dc.description.abstractThis paper reveals the conditional correlations and fluctuation spillovers between oil price shocks and stock markets indices in Middle East countries, over the period from March 2000 to March 2015, by using the BEKK-GARCH, DCC-GARCH models. The results show strong evidence of fluctuation spillovers between the price of WTI to all exporting and oil importing stock indexes. The results further show that the estimates of the conditional correlations are always significant. Time-varying correlations of crude oil and stock index do not differ from oil-exporter or oil-importer countries. Crude oil price shocks have a significant impact on the relationship between crude oil and stock indices in the world crisis periods. The extent of the influence stock market collapse in 2008 crisis on the correlation coefficients is much more important than those of the previous financial crises.
dc.description.urihttps://doi.org/10.4236/oalib.1103218
dc.description.urihttps://dx.doi.org/10.4236/oalib.1103218
dc.identifier.doi10.4236/oalib.1103218
dc.identifier.eissn2333-9705
dc.identifier.endpage23
dc.identifier.issn2333-9721
dc.identifier.openairedoi_dedup___::1d6a189c5ed65db0a1a66cfe9b9314f9
dc.identifier.startpage1
dc.identifier.urihttps://hdl.handle.net/20.500.12597/36083
dc.identifier.volume03
dc.publisherScientific Research Publishing, Inc.
dc.relation.ispartofOALib
dc.rightsOPEN
dc.subject.sdg8. Economic growth
dc.subject.sdg1. No poverty
dc.titleConditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns of Middle East Countries
dc.typeArticle
dspace.entity.typePublication
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