Regional financial integration in the GCC

Espinoza, Raphaël; Prasad, Ananthakrishnan; Williams, Oral

doi:10.1016/j.ememar.2011.04.005

Cited by 39 publications

(35 citation statements)

References 9 publications

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“…This study distinguishes volatility spillovers from regional (Saudi Arabia) and global (US) market to GCC markets. There has not been any study that focuses on volatility spillovers from Saudi Arabia as a regional market and US as a 1 GCC markets account for 40% and 23% of global proven oil and gas reserves respectively; sovereign wealths are estimated to be more than US$ 1 trillion in size and financial systems dominated by commercial banks (Espinoza et al, 2011). 2 Marashdeh and Shrestha (2010) state that GCC markets are not fully integrated and these markets are not integrated with the developed markets as represented by the United States and European markets.…”

Section: Introductionmentioning

confidence: 99%

Global and regional volatility spillovers to GCC stock markets

Alotaibi

Mishra

2015

Economic Modelling

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This paper examines the effects of return spillovers from regional (Saudi Arabia) and global (US) markets to GCC stock markets (Bahrain, Oman, Kuwait, Qatar, United Arab Emirates). The paper develops various bivariate GARCH models for regional and global returns: BEKK, constant correlation and dynamic correlation. The specification tests are used to choose between the models with and without asymmetric effects. The estimated innovations for the regional and global returns are then used as input for the univariate volatility spillover model which allows the unexpected returns of any particular GCC stock market be driven by three sources of shocks: local, regional from Saudi Arabia and global from US. We find significant return spillover effects from Saudi Arabia and US to GCC markets. Trade, turnover and institutional quality has significant impacts on regional volatility spillovers from Saudi Arabia to GCC markets. There are macroeconomic policy implications associated with the strengthening of intra-regional and cross-border trade in goods, services and assets and regulatory framework.

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Section: Introductionmentioning

confidence: 99%

Global and regional volatility spillovers to GCC stock markets

Alotaibi

Mishra

2015

Economic Modelling

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“…On the basis of a quick disappearance of arbitrage opportunity in the GCC, Espinoza et al (2011) concluded that GCC equity markets are more integrated than many emerging economies' stock markets.…”

Section: A Brief Literature Review On Gcc Financial Market Integrationmentioning

confidence: 99%

Dependence patterns across Gulf Arab stock markets: A copula approach

Basher

Nechi

Zhu

2014

Journal of Multinational Financial Management

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Underpinned by rising hydrocarbon revenues, the stock markets of the six GCC (Gulf Cooperation Council) countries have demonstrated significant integration over the past decade. This paper studies the dependence patterns of the bivariate distribution of returns across seven GCC stock markets over the period 2004-2013 using copula models. The results of the marginal models indicate strong volatility persistence in all the seven equity markets. The results from the copula models indicate that the conditional dependence across all 21 pairs of equity markets' returns is not strictly symmetric in that the lower tail dependence is significantly greater that the upper tail dependence. The stock markets of Abu Dhabi and Dubai appear as the primary source of asymmetric dependence across the different equity market pairs.

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“…A common monetary policy may sometimes fail to stabilize asymmetric 4 See Nechi (2010) for additional discussion. 5 See Booz & Company (2011) and Espinoza et al (2011) for numerical and statistical figures.…”

Section: Lessons For the Gcc From Europe: A Gcc Fiscal Unionmentioning

confidence: 99%

Regional initiative in the Gulf Arab States: the search for a common currency

Basher

2015

International Journal of Islamic and Middle Eastern Finance and Management

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While many commentators have been openly critical of China's currency policy on the basis of an undervalued renminbi, despite a similar surge in GCC's (Gulf Cooperation Council) balance of payment surpluses in the first decade of this century, the vast majority of the commentators have maintained a stony silence on the undervalued Gulf currencies. This underscores the geopolitics of currencies as a form of asymmetric warfare and the consequences of dollar, euro or renminbi diplomacy. This paper makes two main additions to the literature on Gulf monetary union. First, it emphasizes that the creation of a fiscal union is necessary for the Gulf monetary union to succeed. Second, it proposes some alternatives to pegging to the dollar, which would allow the GCC to absorb large swings in global commodity prices (oil, food) in the short to medium run. The proposed exchange rate regimes are not conditional on the formation of the Gulf monetary union, and can be implemented individually or collectively.

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Regional financial integration in the GCC

Cited by 39 publications

References 9 publications

Global and regional volatility spillovers to GCC stock markets

Global and regional volatility spillovers to GCC stock markets

Dependence patterns across Gulf Arab stock markets: A copula approach

Regional initiative in the Gulf Arab States: the search for a common currency

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