Revisiting volatility spillovers in the Gulf Cooperation Council

Ziadat, Salem Adel; Al‐Khouri, Ritab

doi:10.1080/23322039.2022.2031683

Cited by 4 publications

(1 citation statement)

References 32 publications

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“…Finally, some recent studies see, e.g., Ziadat and McMillan ( 2021 ), Al Refai et al ( 2022 ), and Tien and Hung ( 2022 ), have also investigated the topic under discussion. Ziadat and AlKhouri ( 2022 ) decomposed oil price shock into supply and demand shock using Ready ( 2018 )’s method using monthly data. Monthly data usage has been criticized in literature as the financial analyst, portfolio managers, and individual investors, and day traders analyze the market on daily basis due to daily changes in market expectation (Degiannakis et al 2018 ; Mokni and Youssef 2019 ; Naeem et al 2022 ).…”

Section: Literature Reviewmentioning

confidence: 99%

Volatility connectedness of GCC stock markets: how global oil price volatility drives volatility spillover in GCC stock markets?

Hussain

Rehman

2022

Environ Sci Pollut Res

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s The study investigated the volatility connectedness of GCC stock market return and S&P global oil index returns using Diebold and Yilmaz ( 2012 ) method. The current study has also analyzed the possible impact of oil price volatility on net volatility spillover in GCC stock market returns pre- and post-COVID-19 period. The current study results suggest that the GCC stock markets have volatility connectedness with S&P Global Oil Index returns’ volatility and across GCC stock markets. The GCC stock markets have greater volatility in their stock markets than volatility spillover from other GCC countries. Further investigation also suggests that global oil price volatility has a divergent causal impact on net spillover in GCC stock markets. Such results would enhance the understanding of GCC stock market connection, spillover, and economic channels through which GCC markets are connected.

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