Dynamic Connectedness of MENA Stock Markets and Key Energy Indicators: Insights from Global Risk Perception

Year 2024, Volume: 12 Issue: 3, 1015 - 1038

Ender Baykut , Arif Arifoğlu , Halilibrahim Gökgöz

https://doi.org/10.18506/anemon.1429010

Abstract

This paper examines the dynamic connectedness between stock market indices of the Middle East and North Africa (MENA) countries and key variables such as the VIX, WTI crude oil and natural gas prices. Using a daily dataset covering eleven stock markets in the MENA region, the Time-Varying Parameter Vector Autoregressive (TVP-VAR) model is employed as the methodological framework to analyse the dynamic linkages among the variables. The results of our study show that global economic events exert different influences on connectedness. This phenomenon is particularly noticeable during key events such as the COVID-19 pandemic and the Russia-Ukraine war. Moreover, the dynamics of MENA stock markets are influenced by changes in energy demand and price shocks. Crucially, these effects vary considerably at the country level. During this period, Jordan and Tunisia experienced an increase in natural gas-induced volatility, while Oman experienced a decrease. The Russia-Ukraine war increased volatility for Kuwait, Bahrain, Morocco and the UAE, especially for natural gas. The impact of these events also extended to oil-related volatility, affecting countries such as Egypt, Jordan, Kuwait and Morocco. In particular, Kuwait, Bahrain, Saudi Arabia and United Arap Emirates moved from being net receivers of volatility to net transmitters of volatility during the pandemic.

Keywords

MENA Stock Markets, VIX, TVP-VAR

MENA Hisse Senedi Piyasaları ve Temel Enerji Göstergelerinin Dinamik Bağlantılılığı: Küresel Risk Algısından İçgörüler

Abstract

Bu çalışma, Orta Doğu ve Kuzey Afrika (MENA) ülkelerinin borsa endeksleri ile VIX, WTI ham petrol ve doğal gaz fiyatları gibi temel değişkenler arasındaki dinamik bağlantılılığı incelemektedir. MENA bölgesindeki 11 borsanın günlük veri setinin kullanıldığı çalışmada, Zamanla Değişen Parametre Vektör Otoregresif (TVP-VAR) modeli, değişkenler arasındaki dinamik bağlantılılığı analiz etmek için metodolojik çerçeve olarak uygulanmıştır. Çalışmamızın sonuçları, küresel ekonomik olayların bağlantılılık üzerinde farklı etkiler yarattığını göstermektedir. Bu olgu, özellikle COVID-19 salgını ve Rusya-Ukrayna savaşı gibi önemli olaylar sırasında fark edilmektedir. Ayrıca MENA hisse senedi piyasalarının dinamikleri enerji talebindeki değişikliklerden ve fiyat şoklarından etkilenmektedir. Daha da önemlisi, bu etkiler ülke düzeyinde önemli ölçüde farklılık göstermektedir. Bu dönemde Ürdün ve Tunus'ta doğal gaz kaynaklı volatilitede artış yaşanırken, Umman'da düşüş yaşanmıştır. Rusya-Ukrayna savaşı, başta doğalgaz olmak üzere Kuveyt, Bahreyn, Fas ve BAE açısından oynaklığı artırmıştır. Bu olayların etkisi aynı zamanda petrole bağlı dalgalanmalara da uzanarak Mısır, Ürdün, Kuveyt ve Fas gibi ülkeleri etkilemiştir. Özellikle Umman ve Kuveyt Menkul Kıymetler Borsası (KSE), pandemi sırasında oynaklığın net alıcısı olmaktan çıkıp oynaklığın net yayıcısı haline gelmişlerdir.

Keywords

MENA Borsaları, VIX, TVP-VAR

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