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Stock markets in GCC countries and global factors: A further investigation

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  • Jouini, Jamel

Abstract

This 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 Info

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 31 (2013)
Issue (Month): C ()
Pages: 80-86

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Handle: RePEc:eee:ecmode:v:31:y:2013:i:c:p:80-86

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Web page: http://www.elsevier.com/locate/inca/30411

Related research

Keywords: Stock markets; Global factors; Panel techniques; Structural breaks;

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Cited by:
  1. Khalifa, Ahmed A.A. & Hammoudeh, Shawkat & Otranto, Edoardo, 2014. "Patterns of volatility transmissions within regime switching across GCC and global markets," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 512-524.
  2. Jouini, Jamel & Harrathi, Nizar, 2014. "Revisiting the shock and volatility transmissions among GCC stock and oil markets: A further investigation," Economic Modelling, Elsevier, vol. 38(C), pages 486-494.

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