Short- and Long-Run Tail Dependence Switching in MENA Stock Markets: The Roles of Oil, BITCOIN, Gold and VIX - Economic Research Forum (ERF)

This paper examines the left and right tail dependence-switching structure between twelve MENA stock markets, and oil and other major global factors. We compare the MENA–oil tail dependence with that of Bitcoin, gold, and VIX. Using a recent combined wavelet and dependence-switching copula approach, we show evidence of significant tail dependence between MENA stock markets and oil and the other global factors. The dependence structure varies across the associated different regimes and under both the short- and long-term horizons. Moreover, the safe haven role of gold is more apparent in the long term than in the short term for all MENA markets, and this result is similar for Bitcoin but is less evident for VIX. We conclude by providing policy implications.

 

Research Fellows

Walid Mensi

Assistant Professor, Department of Finance and Economics, Sultan Qaboos University, Oman


Research Fellows

Shawkat Hammoudeh

Associate Professor, Department of Economics, Drexel University


Research Fellows

Khamis Hamed Al-Yahyaee

Dean, College of Economics and Political Science, Sultan Qaboos University


Authors

Aviral Kumar Tiwari

Montpellier Business School


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