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Stock Prices and Crude Oil Shocks: The Case of GCC Countries

المؤلفAl-Maadid, A.
المؤلفSpagnolo, F.
المؤلفSpagnolo, N.
تاريخ الإتاحة2021-06-23T11:14:56Z
تاريخ النشر2016-08-11
اسم المنشورHandbook of Frontier Markets: Evidence from Middle East North Africa and International Comparative Studies
المعرّفhttp://dx.doi.org/10.1016/B978-0-12-809200-2.00003-8
الاقتباسAl-Maadid, A., Spagnolo, F., & Spagnolo, N. (2016). Stock Prices and Crude Oil Shocks: The Case of GCC Countries. In Handbook of Frontier Markets (pp. 33-47). Academic Press.
الترقيم الدولي الموحد للكتاب 9780128094914
الترقيم الدولي الموحد للكتاب 9780128092002
معرّف المصادر الموحدhttps://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85017432350&origin=inward
معرّف المصادر الموحدhttp://hdl.handle.net/10576/20830
الملخصThe aim of this chapter is to identify the effects of oil price volatility on stock market volatility for eight oil exporter or importer countries. Using weekly data for the 2004-15 period, we model the relationship between oil and stock prices using a multivariate GARCH-BEKK model. We find evidence of comovement between oil and stock markets, especially in the GCC region, whereas results for volatility spillovers are quite mixed. Consequently, general policies aimed at stabilizing stock prices in oil exporting countries cannot be formulated; the specific linkages between different markets need to be taken into account in order to devise appropriate policy measures.
اللغةen
الناشرElsevier
الموضوعC32
F36
G15
GCC Stock
Oil prices
VAR-GARCH model
Volatility spillover
العنوانStock Prices and Crude Oil Shocks: The Case of GCC Countries
النوعArticle
الصفحات33-47
dc.accessType Abstract Only


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