Global and Regional Spillovers to GCC Equity Markets
AbstractThis 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 InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 11/138.
Date of creation: 01 Jun 2011
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-07-21 (All new papers)
- NEP-ARA-2011-07-21 (MENA - Middle East & North Africa)
- NEP-IFN-2011-07-21 (International Finance)
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