Abstract In this paper we use the DCC-MIDAS (Dynamic Conditional Correlation-Mixed Data Sampling) model to infer the association between oil and equities in five MENA countries between February 2006 and April 2017. The model indicates that higher oil returns tends to reduce the long-term risk of the Saudi market, but to increase it in other markets. The risk transfer from oil to MENA equities is found to be weak. The dynamic conditional correlation between oil and equities is not always positive and it unexpectedly changes sign during the sample period. However, the association always strengthens when there is a large draw down in oil prices as well as during periods of high volatility. Finally, we find that short term association occasionally breaks from the longer-term correlation particularly in Egypt and Turkey. These patterns of influence and associations are unique, and have important implications for equity portfolio managers who are interested in investing in energy and MENA equities.

中文翻译：

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中东和北非地区石油与股票之间的时变传递：DCC-MIDAS分析的新证据

摘要本文在2006年2月至2017年4月期间，使用DCC-MIDAS（动态条件相关混合数据采样）模型来推断五个中东和北非国家的石油与股票之间的关联。该模型表明，较高的石油收益率往往会降低沙特市场的长期风险，但会增加其他市场的风险。发现从石油到中东和北非股票的风险转移微弱。石油和股票之间的动态条件相关性并不总是正的，并且在采样期间它会意外地改变符号。但是，在油价大幅下跌以及高波动时期，协会总是会加强。最后，我们发现短期关联有时会脱离长期关联，尤其是在埃及和土耳其。