Oil Price Volatility and MENA Stock Markets: A Comparative Analysis of Oil Exporters and Importers

This paper explores the transmission of volatility from Brent oil price evolution to the stock returns of 7 MENA countries, encompassing three importers and four exporters, after excluding four initial countries using the ARCH test. Employing the GARCH-BEKK estimation method, we detect this transmis...

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Bibliographic Details
Published in:	Engineering Proceedings
Main Authors:	Khalil Mhadhbi, Ines Guelbi
Format:	Article
Language:	English
Published:	MDPI AG 2024-09-01
Subjects:	oil price volatility stock market sensitivity MENA countries volatility transmission GARCH BEKK Model
Online Access:	https://www.mdpi.com/2673-4591/68/1/63

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