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Dynamic Spillovers between Gulf Cooperation Council’s Stocks, VIX, Oil and Gold Volatility Indices

Author

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  • Abdullah Alqahtani

    (Sawyer Business School, Suffolk University, Boston, 73 Tremont St, Boston, MA 02108, USA)

  • Julien Chevallier

    (Department of Economics & Management, IPAG Business School (IPAG Lab), 184 bd Saint-Germain, 75006 Paris, France
    Department of Economics & Management, Université Paris 8 (LED), 2 rue de la Liberté, 93526 Saint-Denis, France)

Abstract

This paper analyzes the conditional correlations between the stock market returns of countries that are members of the Gulf Cooperation Council (GCC). The innovative aspects of the paper consist of focusing on three volatility indices: the oil (OVX), gold (GVZ), and S&P500 (VIX) markets (considered in log-difference). We use weekly data and resort to DCC-GARCH modeling. The novelty of the paper consists in revealing that: (i) GCC stock market returns are negatively correlated with each of the volatility measures, and the correlations are stronger during crisis periods; (ii) GCC stock returns are mostly correlated with oil shocks; and (iii) Saudi Arabia and Qatar are the most responsive to all shocks among the GCC countries, while Bahrain correlates weakly to shocks in oil, gold, and VIX. The most striking results feature extra sensitivity of Saudi Arabia and Qatar in terms of volatility indices, which should be the foremost concern of policymakers and banking analysts.

Suggested Citation

  • Abdullah Alqahtani & Julien Chevallier, 2020. "Dynamic Spillovers between Gulf Cooperation Council’s Stocks, VIX, Oil and Gold Volatility Indices," JRFM, MDPI, vol. 13(4), pages 1-17, April.
    • Handle: RePEc:gam:jjrfmx:v:13:y:2020:i:4:p:69-:d:344482
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    References listed on IDEAS

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    Cited by:

    1. Zhifang He & Jiaqi Chen & Fangzhao Zhou & Guoqing Zhang & Fenghua Wen, 2022. "Oil price uncertainty and the risk‐return relation in stock markets: Evidence from oil‐importing and oil‐exporting countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1154-1172, January.
    2. Ngo Thai Hung, 2021. "Financial connectedness of GCC emerging stock markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(4), pages 753-773, December.

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