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Revisiting volatility spillovers in the Gulf Cooperation Council

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  • Salem Adel Ziadat
  • Ritab AlKhouri

Abstract

This research offers a comprehensive review of the volatility spillover patterns in the Gulf Cooperation Council (GCC) stock market indexes covering daily data from 2/1/2004 to 5/11/2020. During this period, stock markets experienced fluctuations due to unexpected shocks, such as the international financial crisis, oil price shocks and, lately, the pandemic of COVID-19. The findings reveal a substantial increase in the connectedness of returns and volatilities in the GCC bloc during high stress periods with the COVID-19 era marking a historical high. That said, the results do not support significant changes in the directional patterns of volatility during the pandemic.

Suggested Citation

  • Salem Adel Ziadat & Ritab AlKhouri, 2022. "Revisiting volatility spillovers in the Gulf Cooperation Council," Cogent Economics & Finance, Taylor & Francis Journals, vol. 10(1), pages 2031683-203, December.
    • Handle: RePEc:taf:oaefxx:v:10:y:2022:i:1:p:2031683
    DOI: 10.1080/23322039.2022.2031683
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