20 th INTERNATIONAL CONFERENCE OF MEEA, İstanbul, Turkey, 13 - 14 September 2024
This study aims to
investigate the decomposed relationship among nine stock market returns,
including MENAT countries such as Israel, Egypt, United Arab Emirates, Jordan,
Bahrain, Lebanon, Oman, Qatar, and Türkiye as well as global energy-related
uncertainty index (EUI) using monthly data from February 2007 to October 2022.
The model itself decomposes R2 into two, namely contemporaneous and lagged.
Contemporaneous From and To results dominate the overall connectedness and thus
indicate higher measures than lagged values except for EUI. According to
overall connectedness results, the United Arab Emirates is the main net
transmitter of spillover, followed by Oman. At the same time, Türkiye’s stock
market acts as the main net receiver, followed by Lebanon. The empirical
findings show that events such as the GFC, Arab Spring, oil price volatility,
pandemic, and geopolitical conflicts in the region (e.g., Syria, Yemen, Libya)
have intensified the network connectedness. On average, the overall TCI
explains 53.06% of the variation while the primary is found in the
contemporaneous part with 36.33%, while the lagged part explains only the
variance of 16.73%. The model is robust because we get quite similar findings from the
Spearman correlation coefficient. The result of this
study on the relationship between MENAT stock markets and EUI is expected to be
valuable for investors, policymakers, and portfolio managers.