Time and Frequency Dynamics of Connectedness among Emerging MENA Stock Markets, Brent Crude Oil, and Gold Market

This study investigates the return connectedness across the major Middle East and North Africa (MENA) stock markets, Brent crude oil, and Gold, from April 2008 to July 2019 using the frequency-domain framework and causality among these markets. Three different periods, including the short term, medium term, and long term are considered to analyze the interconnectedness of markets. The results of the study indicate that the markets are more connected and speculative in the short term, thus there is less chance of portfolio diversification among these markets in the short term. The QE general contributes more to the Brent crude oil market in the short term, and Tadawul has more connectedness with this market in other timeframes. Moreover, among MENA stock markets, the QE general contributes more to the short term and medium term and ADX general has more influence on other markets in the long term. The financial crisis of 2008 and the oil price crash during 2014 increased the total return connectedness of these markets with the shocks having long-lasting effects. The findings of this study can offer new insights to policymakers and investors.JEL Classification: C18, C32, G15

Time and Frequency Dynamics of Connectedness among Emerging MENA Stock Markets, Brent Crude Oil, and Gold Market Keywords:

Brent Crude oil , Frequency Return Connectedness , MENA Stock Markets