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

Basel Awartani, Aktham I. Maghyereh, Mohammad Al Shiab

    Research output: Contribution to journalArticlepeer-review

    27 Citations (Scopus)

    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.

    Original languageEnglish
    Pages (from-to)224-242
    Number of pages19
    JournalJournal of International Financial Markets, Institutions and Money
    Volume27
    Issue number1
    DOIs
    Publication statusPublished - Dec 2013

    Keywords

    • Dynamic correlations
    • Spillovers
    • Stock returns
    • Volatility

    ASJC Scopus subject areas

    • Finance
    • Economics and Econometrics

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