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Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries

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  • Awartani, Basel
  • Maghyereh, Aktham I.
  • Shiab, Mohammad Al

Abstract

The paper investigates returns and returns volatility spillovers from the U.S. and the Saudi market to equity markets in the Gulf Cooperation Council countries. A clear jump in net transmissions from both markets was spotted during the financial crisis in 2008. This new pattern of information transmission reflects an increase in association with the U.S. and the Saudi market. Therefore, we may conclude that the strong inter and intra diversification potential that once existed in the Gulf Cooperation Council Countries has been severely impaired in recent years.

Suggested Citation

  • Awartani, Basel & Maghyereh, Aktham I. & Shiab, Mohammad Al, 2013. "Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 224-242.
  • Handle: RePEc:eee:intfin:v:27:y:2013:i:c:p:224-242
    DOI: 10.1016/j.intfin.2013.08.002
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    Cited by:

    1. Assaf, Ata, 2016. "MENA stock market volatility persistence: Evidence before and after the financial crisis of 2008," Research in International Business and Finance, Elsevier, vol. 36(C), pages 222-240.
    2. Awartani, Basel & Aktham, Maghyereh & Cherif, Guermat, 2016. "The connectedness between crude oil and financial markets: Evidence from implied volatility indices," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 56-69.
    3. repec:ucm:wpaper:04-15 is not listed on IDEAS
    4. Fernández-Rodríguez, Fernando & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2015. "Volatility spillovers in EMU sovereign bond markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 337-352.
    5. Ferhat Camlica & Didem Gunes & Etkin Ozen, 2017. "A Financial Connectedness Analysis for Turkey," Working Papers 1719, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    6. Maghyereh, Aktham I. & Awartani, Basel & Bouri, Elie, 2016. "The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes," Energy Economics, Elsevier, vol. 57(C), pages 78-93.
    7. repec:spr:decisn:v:44:y:2017:i:1:d:10.1007_s40622-016-0144-2 is not listed on IDEAS
    8. repec:eee:finana:v:52:y:2017:i:c:p:9-26 is not listed on IDEAS
    9. Fernández-Rodríguez, Fernando & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 126-145.
    10. Aviral Kumar Tiwari & Juncal Cunado & Rangan Gupta & Mark E. Wohar, 2017. "Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains," Working Papers 201780, University of Pretoria, Department of Economics.
    11. repec:eee:eneeco:v:68:y:2017:i:c:p:440-453 is not listed on IDEAS

    More about this item

    Keywords

    Stock returns; Volatility; Spillovers; Dynamic correlations;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles

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