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Return and volatility transmission between world oil prices and stock markets of the GCC countries

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Listed author(s):
  • Duc Khuong Nguyen
  • Mohamed Arouri
  • Amine Lahiani

Abstract

This paper investigates the return linkages and volatility transmission between oil and stock markets in the Gulf Cooperation Council (GCC) countries over the recent period 2005-2010. We employ a recent generalized VAR-GARCH approach which allows for transmissions in return and volatility. In addition, we analyze the optimal weights and hedge ratios for oil-stock portfolio holdings.On the whole, our results point to the existence of substantial return and volatility spillovers between world oil prices and GCC stock markets, and appear to be crucial for international portfolio management in the presence of oil price risk.

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Paper provided by EcoMod in its series EcoMod2011 with number 2820.

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Date of creation: 06 Jul 2011
Handle: RePEc:ekd:002625:2820
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Keywords: GCC countries; Energy and environmental policy; Finance;

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