Stock markets in GCC countries and global factors: A further investigation
AbstractThis paper investigates the long-run links between stock markets of the Gulf Cooperation Countries (GCC) and three global factors, including oil price, MSCI (Morgan Stanley Capital International) world index and US interest rate. Unlike previous empirical works, we employ econometric techniques that account for simultaneously the effects of heterogeneity, cross-country dependence and unknown regime-shifts in order to examine the sensitivity of GCC stock markets to movements of global factors. Our findings are of great interest since they show strong evidence of nonlinear long-run relationship between the variables of interest when there is dependence between countries, and indicate that the global factors have predictability effect on most GCC stock markets. We also stress the importance of including regime-shifts in the analysis that leads to more reliable conclusions than those obtained in the literature by neglecting structural breaks.
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Bibliographic InfoArticle provided by Elsevier in its journal Economic Modelling.
Volume (Year): 31 (2013)
Issue (Month): C ()
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Web page: http://www.elsevier.com/locate/inca/30411
Stock markets; Global factors; Panel techniques; Structural breaks;
Find related papers by JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- F3 - International Economics - - International Finance
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
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