Oil prices and MENA stock markets:New evidence from nonlinear and asymmetric causalities during and after the crisis period

This article investigates the potential of nonlinear causal relationships between world oil prices and stock markets in MENA countries during a black swan period that is characterized by rarity and devastating impacts. By using the nonlinear and asymmetric causality test of Kyrtsou and Labys (2006), we mainly find that: i) oil prices and MENA stock markets interact in a nonlinear manner; ii) the signs of changes in the causing variables are important for detecting the true causality links between the variables; and iii) the nonlinear causality is more pronounced in the case of the Brent than WTI oil prices.