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The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries

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  • Onour, Ibrahim

Abstract

This paper employs extreme downside risk measures to estimate the impact of the global financial crisis in 2008/2009 on equity markets in major oil producing Middle East countries. The results in the paper indicate the spillover effect of the global crisis varied from a country to another, but most hardly affected market among the group of six markets was Dubai financial market in which portfolio loss reached about 42 per cent. This indicates that Dubai debt crisis, which emerged on surface in 2009, exacerbated the impact of the global financial crisis and prolonged the recovery process in these markets.

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  • Onour, Ibrahim, 2010. "The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries," MPRA Paper 23332, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:23332
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    Cited by:

    1. Farooq Omar & Derrabi Mohamed & Naciri Monir, 2013. "Corporate Governance and Liquidity: Pre- and Post-Crisis Analysis from the MENA Region," Review of Middle East Economics and Finance, De Gruyter, vol. 8(3), pages 1-19, January.
    2. Ghouse, Ghulam & Khan, Saud Ahmed, 2017. "Tracing dynamic linkages and spillover effect between Pakistani and leading foreign stock markets," Review of Financial Economics, Elsevier, vol. 35(C), pages 29-42.
    3. Aloui, Chaker & Hamida, Hela ben, 2014. "Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 349-380.
    4. Ghulam Ghouse & Saud Ahmed Khan & Muhammad Arshad, 2019. "Volatility Modelling and Dynamic Linkages between Pakistani and Leading Foreign Stock Markets: A Multivariate GARCH Analysis," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 58(3), pages 265-282.
    5. Ghouse, Ghulam & Khan, Saud Ahmed & Habeeb, Kashif, 2019. "Information Transmission Among Equity Markets: A Comparison Between ARDL and GARCH Model," MPRA Paper 97925, University Library of Munich, Germany.
    6. Chaker Aloui & Hela BEN HAMIDA, 2015. "Estimation and Performance Assessment of Value-at-Risk and Expected Shortfall Based on Long-Memory GARCH-Class Models," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(1), pages 30-54, January.
    7. Shumi Akhtar & Maria Jahromi & Tom Smith, 2017. "Impact of the global financial crisis on Islamic and conventional stocks and bonds," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(3), pages 623-655, September.
    8. Layla Khoja & Maxwell Chipulu & Ranadeva Jayasekera, 2016. "Analysing corporate insolvency in the Gulf Cooperation Council using logistic regression and multidimensional scaling," Review of Quantitative Finance and Accounting, Springer, vol. 46(3), pages 483-518, April.

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    More about this item

    Keywords

    Value at risk; Fat-tails distribution; Expected Shortfall; Extreme losses.;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • F30 - International Economics - - International Finance - - - General
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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