Dynamic Conditional Correlation of Oil Prices and Stock Markets Volatilities in Persian Gulf Countries, Focusing On Effect of Financial Crisis Contagion

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KARIMI MOJTABA; SARRAF FATEMEH; EMAMVERDI GHODRATOLLAH; BAGHANI ALI

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Journal: Financial Economics Year:2020 | Volume:13 | Issue:49 Page(s): 101-130

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Title

Dynamic Conditional Correlation of Oil Prices and Stock Markets Volatilities in Persian Gulf Countries, Focusing On Effect of Financial Crisis Contagion

Author(s)

KARIMI MOJTABA | SARRAF FATEMEH | EMAMVERDI GHODRATOLLAH | BAGHANI ALI | Issue Writer Certificate

Keywords

crisisQ1

Oil price volatilitiesQ2

Stock marketQ2

Dynamic conditional correlationQ1

ContagionQ1

Abstract

The present study evaluates the symmetric and asymmetric Dynamic conditional correlations between volatilities of oil prices and Stock markets in Persian Gulf region, in the event of financial crisis Contagion. To do so, Dynamic conditional correlation (DCC) and Asymmetric Dynamic conditional correlation (ADCC) models are used during the 1st week of 2004 to 47th week of 2019. The results indicate asymmetric Dynamic conditional correlation between Iran and Dubai Stock markets, and symmetric Dynamic conditional correlation between Saudi Arabia Stock market and OPEC crude oil prices. Moreover, the results show symmetric Dynamic conditional correlation between Qatar and Dubai Stock markets, and asymmetric Dynamic conditional correlation between Saudi Stock market and Brent crude oil. Interpretation of these results, that there is symmetric and asymmetric correlations between oil return index and stock returns of Dubai, Qatar and Saudi Arabia implies that risk managers should be fully aware of the fact that these markets are not immune from external shocks. Furthermore, the results suggest that Dubai and Iran Stock markets are vulnerable to internal shocks (OPEC oil), and that Dubai Stock market is among the riskiest markets of Persian Gulf region.

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APA: Copy

KARIMI, MOJTABA, SARRAF, FATEMEH, EMAMVERDI, GHODRATOLLAH, & BAGHANI, ALI. (2020). Dynamic Conditional Correlation of Oil Prices and Stock Markets Volatilities in Persian Gulf Countries, Focusing On Effect of Financial Crisis Contagion. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 13(49 ), 101-130. SID. https://sid.ir/paper/229289/en

Vancouver: Copy

KARIMI MOJTABA, SARRAF FATEMEH, EMAMVERDI GHODRATOLLAH, BAGHANI ALI. Dynamic Conditional Correlation of Oil Prices and Stock Markets Volatilities in Persian Gulf Countries, Focusing On Effect of Financial Crisis Contagion. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2020;13(49 ):101-130. Available from: https://sid.ir/paper/229289/en

IEEE: Copy

MOJTABA KARIMI, FATEMEH SARRAF, GHODRATOLLAH EMAMVERDI, and ALI BAGHANI, “Dynamic Conditional Correlation of Oil Prices and Stock Markets Volatilities in Persian Gulf Countries, Focusing On Effect of Financial Crisis Contagion,” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 13, no. 49 , pp. 101–130, 2020, [Online]. Available: https://sid.ir/paper/229289/en

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