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Global and Regional Spillovers to GCC Equity Markets

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Author Info

  • Tahsin Saadi Sedik
  • Oral Williams

Abstract

This paper analyzes the impact of global and regional spillovers to GCC equity markets. GCC equity markets were impacted by spillovers from U.S. equity markets despite varying degrees of foreign participation. Spillovers from regional equity markets were also important but the magnitude of the effects were on average smaller than that from mature markets. The results also illustrated episodes of contagion in particular during the recent global financial crisis. The findings suggest that given the degree of openness, and open capital accounts the financial channel is an important source through which volatility is transmitted. In this regard, GCC equity markets are not immune from global and regional financial shocks. These findings refute the notion of decoupling between the GCC equity and global equity markets.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 11/138.

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Length: 26
Date of creation: 01 Jun 2011
Date of revision:
Handle: RePEc:imf:imfwpa:11/138

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Keywords: Stock markets; Spillovers; Economic models; External shocks; Regional shocks; equity markets; covariance; equations; correlation; stock market; heteroscedasticity; equation; correlations; statistics; equity market; standard errors; stock market crash; stock prices; random walk; financial sector; descriptive statistics; stock exchanges; financial market; stock market bubble; covariances; stock returns; financial markets; stock market developments; money market funds; probability; cointegration; stock market indices; stock exchange; hedging instruments; stock indices; asset markets; parameter vector; time series; hedging; stockholders; skewness; kurtosis; money market; emerging stock markets; financial instruments; sample size; stock market prices;

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References

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  1. Hammoudeh, S.M. & Yuan, Y. & McAleer, M.J., 2008. "Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets," Econometric Institute Research Papers EI 2008-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  2. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
  3. Basher, Syed A. & Sadorsky, Perry, 2006. "Oil price risk and emerging stock markets," Global Finance Journal, Elsevier, vol. 17(2), pages 224-251, December.
  4. Abraham Abraham, 2002. "Testing the Random Walk Behavior and Efficiency of the Gulf Stock Markets," The Financial Review, Eastern Finance Association, vol. 37(3), pages 469-480, 08.
  5. Nandha, Mohan & Faff, Robert, 2008. "Does oil move equity prices? A global view," Energy Economics, Elsevier, vol. 30(3), pages 986-997, May.
  6. Robert Engle, 2001. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 157-168, Fall.
  7. Heiko Hesse & Tigran Poghosyan, 2009. "Oil Prices and Bank Profitability," IMF Working Papers 09/220, International Monetary Fund.
  8. Nadeem Ilahi & Riham Shendy, 2008. "Do the Gulf Oil-Producing Countries Influence Regional Growth? T+L3886he Impact of Financial and Remittance Flows," IMF Working Papers 08/167, International Monetary Fund.
  9. Ibrahim A. Onour, 2007. "Impact of oil price volatility on Gulf Cooperation Council stock markets' return," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 31(3), pages 171-189, 09.
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Cited by:
  1. Naifar, Nader & Al Dohaiman, Mohammed Saleh, 2013. "Nonlinear analysis among crude oil prices, stock markets' return and macroeconomic variables," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 416-431.
  2. Aloui, Chaker & Hkiri, Besma, 2014. "Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis," Economic Modelling, Elsevier, vol. 36(C), pages 421-431.
  3. Köksal, Bülent & Orhan, Mehmet, 2012. "Market risk of developed and developing countries during the global financial crisis," MPRA Paper 37523, University Library of Munich, Germany.
  4. Steffen Hertog, 2013. "The private sector and reform in the Gulf Cooperation Council," LSE Research Online Documents on Economics 54398, London School of Economics and Political Science, LSE Library.

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