Inter- and intra-regional stock market relations for the GCC bloc

Ziadat, Salem Adel; Herbst, Patrick; McMillan, David G.

doi:10.1016/j.ribaf.2020.101292

Cited by 23 publications

(9 citation statements)

References 67 publications

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“…14 The monthly GPR index for Saudi Arabia is available at http://www.policyuncertainty.com/gpr. 15 Using Dynamic Conditional Correlation-GARCH model and the spillover index of Yilmaz (2009, 2012), Ziadat, et al (2020) found that the GCC group exhibits a lower degree of integration with major international stock markets. Note: Data on stock market indices and oil prices are monthly returns using first log differences of monthly series.…”

Section: Figure 3 Gcc Stock Market Indices and Brent Oil Pricesmentioning

confidence: 99%

Investigating the asymmetric impact of oil prices on GCC stock markets

et al. 2021

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Any opinions expressed in this paper are those of the author(s) and not those of IZA. Research published in this series may include views on policy, but IZA takes no institutional policy positions. The IZA research network is committed to the IZA Guiding Principles of Research Integrity. The IZA Institute of Labor Economics is an independent economic research institute that conducts research in labor economics and offers evidence-based policy advice on labor market issues. Supported by the Deutsche Post Foundation, IZA runs the world's largest network of economists, whose research aims to provide answers to the global labor market challenges of our time. Our key objective is to build bridges between academic research, policymakers and society. IZA Discussion Papers often represent preliminary work and are circulated to encourage discussion. Citation of such a paper should account for its provisional character. A revised version may be available directly from the author.

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Section: Figure 3 Gcc Stock Market Indices and Brent Oil Pricesmentioning

confidence: 99%

Investigating the asymmetric impact of oil prices on GCC stock markets

et al. 2021

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“…The world portfolio is strongly positive, especially in the markets of Dubai and Qatar where the coefficient is twice as large as its Kuwaiti, Omani and Bahraini counterparts. Such results hint at higher levels of global integration in the markets of Dubai and Qatar (Ziadat et al , 2020).…”

Section: Empirical Results[5]mentioning

confidence: 99%

“…Given that oil demand shocks constitute good news for the global economy, the relative high integration of Qatar and Dubai (when compared with the rest of GCC markets) into the world economy might explain this result. A further channel to this effect may arise through spillovers from global financial markets given the integration of Qatar and Dubai (Ziadat et al , 2020).…”

Section: Empirical Results[5]mentioning

confidence: 99%

Oil-stock nexus: the role of oil shocks for GCC markets

Ziadat

McMillan

2022

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Purpose This study aims to examine the links between oil price shocks and Gulf Cooperation Council (GCC) stock markets from February 2004 to December 2019. Knowledge of such links is important to both investors and policymakers in understanding the transmission of shocks across markets. Design/methodology/approach The authors use the Ready (2018) oil price decomposition method and the quantile regression approach to conduct the analysis. Findings Initial results show a positive oil price change increases stock returns, while greater volatility decreases returns. The oil shock decomposition results reveal a significant positive impact of supply-side shocks on stocks. This contrasts with the literature that argues demand-side shocks are more important. While factors such as liquidity and the lack of hedging instruments can increase the vulnerability of GCC equities to oil price shocks, the result reflects the unique economic structure of the GCC bloc, notably, marked by dependency on oil revenues. In analysing quantile-based results, oil supply shocks mainly exhibit lower-tail dependence, while the authors do uncover some evidence of demand-side shocks affecting mid and upper-tail dependence. Originality/value Acknowledging the presence of endogeneity in the relation between oil and economic activity, to the best of the authors’ knowledge, this study is the first to combine the oil price decompositions of Ready (2018) with a quantile regression framework in the GCC context. The results reveal notable difference to those previously reported in the literature.

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“…14 The monthly GPR index for Saudi Arabia is available at http://www.policyuncertainty.com/gpr. 15 Using Dynamic Conditional Correlation-GARCH model and the spillover index of Yilmaz (2009, 2012), Ziadat, et al (2020) found that the GCC group exhibits a lower degree of integration with major international stock markets. Finally, we examine the time series properties of our key variables by checking stationarity.…”

Section: Data and Their Propertiesmentioning

confidence: 99%