Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries

Basel Awartani, Aktham Issa Maghyereh

    Research output: Contribution to journalArticlepeer-review

    206 Citations (Scopus)

    Abstract

    This article exploits a new spillover directional measure proposed by Diebold and Yilmaz (2009, 2012) to investigate the dynamic spillover of return and volatility between oil and equities in the Gulf Cooperation Council Countries during the period 2004 to 2012. Our results indicate that return and volatility transmissions are bi-directional, albeit asymmetric. In particular, the oil market gives other markets more than it receives in terms of both returns and volatilities. These trends were more pronounced in the aftermath of the Global Financial Crisis in 2008 as the net contribution of oil has intensified after a burst during the crisis. The empirical evidence from the sample is consistent with a system in which oil is playing the dominant role in the information transmission mechanism between oil and equities in the GCC countries.

    Original languageEnglish
    Pages (from-to)28-42
    Number of pages15
    JournalEnergy Economics
    Volume36
    DOIs
    Publication statusPublished - Mar 2013

    Keywords

    • Spillovers
    • Stock returns
    • Variance decomposition
    • Vector autoregression
    • Volatility

    ASJC Scopus subject areas

    • Economics and Econometrics
    • Energy(all)

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