This paper reveals the conditional correlations and
fluctuation spillovers between oil price shocks and stock markets indices in Middle East countries, over the period from March 2000 to
March 2015, by using the BEKK-GARCH, DCC-GARCH models. The results show strong evidence of fluctuation spillovers between the
price of WTI to all exporting and oil importing stock indexes. The results further show that the estimates of the conditional
correlations are always significant. Time-varying correlations of crude oil and stock index do not differ from oil-exporter
or oil-importer countries. Crude
oil price shocks have a significant impact on the relationship between crude
oil and stock indices in the world crisis periods. The extent of the influence
stock market collapse in 2008 crisis on the correlation coefficients is much
more important than those of the previous financial crises.
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