Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries
AbstractThis article exploits a new spillover directional measure proposed by Diebold and Yilmaz (2009, 2012) to investigate the dynamic spillover of return and volatility between oil and equities in the Gulf Cooperation Council Countries during the period 2004 to 2012. Our results indicate that return and volatility transmissions are bi-directional, albeit asymmetric. In particular, the oil market gives other markets more than it receives in terms of both returns and volatilities. These trends were more pronounced in the aftermath of the Global Financial Crisis in 2008 as the net contribution of oil has intensified after a burst during the crisis. The empirical evidence from the sample is consistent with a system in which oil is playing the dominant role in the information transmission mechanism between oil and equities in the GCC countries.
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Bibliographic InfoArticle provided by Elsevier in its journal Energy Economics.
Volume (Year): 36 (2013)
Issue (Month): C ()
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Stock returns; Volatility; Spillovers; Vector autoregression; Variance decomposition;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
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