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Global and Regional Spillovers to GCC Equity Markets

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  • 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.

Suggested Citation

  • Tahsin Saadi Sedik & Oral Williams, 2011. "Global and Regional Spillovers to GCC Equity Markets," IMF Working Papers 11/138, International Monetary Fund.
  • Handle: RePEc:imf:imfwpa:11/138
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    References listed on IDEAS

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    1. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
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    3. Nadeem Ilahi & Riham Shendy, 2008. "Do the Gulf Oil-Producing Countries Influence Regional Growth? The Impact of Financial and Remittance Flows," IMF Working Papers 08/167, International Monetary Fund.
    4. Basher, Syed A. & Sadorsky, Perry, 2006. "Oil price risk and emerging stock markets," Global Finance Journal, Elsevier, pages 224-251.
    5. 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, September.
    6. Hammoudeh, Shawkat M. & Yuan, Yuan & McAleer, Michael, 2009. "Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets," The Quarterly Review of Economics and Finance, Elsevier, pages 829-842.
    7. 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.
    8. Nandha, Mohan & Faff, Robert, 2008. "Does oil move equity prices? A global view," Energy Economics, Elsevier, vol. 30(3), pages 986-997, May.
    9. Heiko Hesse & Tigran Poghosyan, 2009. "Oil Prices and Bank Profitability; Evidence From Major Oil-Exporting Countries in the Middle East and North Africa," IMF Working Papers 09/220, International Monetary Fund.
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    Citations

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    Cited by:

    1. Rahman, M. Arifur & Chowdhury, Shah Saeed Hassan & Shibley Sadique, M., 2015. "Herding where retail investors dominate trading: The case of Saudi Arabia," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 46-60.
    2. International Monetary Fund, 2012. "United Arab Emirates; Selected Issues and Statistical Appendix," IMF Staff Country Reports 12/136, International Monetary Fund.
    3. 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.
    4. Alotaibi, Abdullah R. & Mishra, Anil V., 2015. "Global and regional volatility spillovers to GCC stock markets," Economic Modelling, Elsevier, vol. 45(C), pages 38-49.
    5. Hertog, Steffen, 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.
    6. 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.
    7. 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.

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