This study uses the Fourier-Shin (F-Shin) cointegration test to examine the long-term interaction between Brent crude oil prices and the equity markets of selected Arab countries, using data from January 2010 to December 2024. The findings reveal a long-term co-integration relationship between oil and stock prices in Jordan, Kuwait, Lebanon, Morocco, Qatar, and Tunisia. However, the DOLS estimator indicates no significant effect of oil prices on stock prices in Jordan, Morocco, Qatar, or Tunisia. This indicates that other macroeconomic or regional factors besides oil prices have a more dominant effect in these countries. It also indicates that sensitivity to energy prices may be limited. This study emphasises the importance of understanding the long-term effects of structural changes and external shocks, such as oil price fluctuations, on stock market dynamics in selected Arab countries.
T. Köse, A. Öztop, Süreyya İmre Bıyıklı· Istanbul Journal of Economic...· 0 citations
This study assesses the volatility spillovers between Brent crude oil prices and main sectoral index returns on Borsa Istanbul using daily data from January 2, 2015, to 28 July 2025. Unlike previous studies that focus on aggregate market indices, this research provides a granular sectoral analysis to uncover hidden heterogeneities in volatility spillovers. The VAR(1)-Diagonal BEKK-GARCH(1,1) model is specifically employed because it effectively captures dynamic conditional correlations and simultaneous volatility spillovers while ensuring the positive definiteness of the covariance matrix. Findings reveal that oil fluctuations substantially affect the Turkish market, with effects differing across sectors. The technology sector is most responsive to short-term shocks, whereas the services and industrial sectors exhibit more persistent volatility. The financial sector is also significantly influenced, though its persistence is less pronounced. The study’s original contribution lies in identifying a structural transformation in the energy-finance nexus, demonstrating that COVID-19-driven shifts fundamentally altered how energy shocks propagated through emerging market sectors. Furthermore, the results indicate that volatility spillovers intensified in magnitude following the pandemic. These findings provide evidence that sectoral dependence on energy and unique structural characteristics shape the transmission mechanisms of oil price shocks. For policymakers, enhancing energy diversification and renewable investments is vital. Market participants should develop sector-specific diversification strategies; technology-heavy portfolios require active short-term hedging, whereas industrial investments necessitate long-term risk assessment. By mapping the distinct persistence levels of each sector, this research offers a novel, evidence-based framework for targeted macroprudential supervision in emerging economies.
T. Köse, Ezgi Kuyu· Journal of Economic Policy R...· 0 citations
