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

doi:10.1016/j.intfin.2013.08.002

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

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

35 Scopus citations

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 language	English
Pages (from-to)	224-242
Number of pages	19
Journal	Journal of International Financial Markets, Institutions and Money
Volume	27
Issue number	1
DOIs	https://doi.org/10.1016/j.intfin.2013.08.002
State	Published - Dec 2013
Externally published	Yes

Keywords

Dynamic correlations
Spillovers
Stock returns
Volatility

ASJC Scopus subject areas

Finance
Economics and Econometrics

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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10.1016/j.intfin.2013.08.002

Cite this

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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.",

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AU - Awartani, Basel

AU - Maghyereh, Aktham I.

AU - Shiab, Mohammad Al

PY - 2013/12

Y1 - 2013/12

N2 - 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.

AB - 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.

KW - Dynamic correlations

KW - Spillovers

KW - Stock returns

KW - Volatility

UR - https://www.scopus.com/pages/publications/84886613670

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ER -

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

Abstract

Keywords

ASJC Scopus subject areas

UN SDGs

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Cite this