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AuthorMimouni, Karim
AuthorCharfeddine, Lanouar
AuthorAl-Azzam, Moh'd
Available date2021-07-05T10:58:35Z
Publication Date2016
Publication NameEconomic Modelling
ResourceScopus
URIhttp://dx.doi.org/10.1016/j.econmod.2016.05.001
URIhttp://hdl.handle.net/10576/21126
AbstractThis paper provides evidence of the existence of diversification benefits in international stock markets when oil producing countries are included in a global portfolio. Moreover, it examines whether recent oil shocks and financial events have significant impact on the conditional correlations and diversification benefits. Using stock returns from developed, emerging, GCC countries and a global portfolio, the empirical findings show that while developed and emerging stock markets have experienced increased correlations over relatively long periods of time, the correlation in GCC stock markets remained low and constant offering high diversification benefits. Interestingly, the paper also finds that, during 2012-2014, the rising conditional correlation levels have reversed trends in developed and emerging markets alike offering more potential for international diversification. Our results are robust to model selection, data frequency, and innovations distribution. 2016 Elsevier B.V..
Languageen
PublisherElsevier
SubjectConditional diversification benefits (CDBs)
International diversification
Multivariate GARCH
Oil shocks
Structural breaks
Time-varying correlation
TitleDo oil producing countries offer international diversification benefits? Evidence from GCC countries
TypeArticle
Pagination263-280
Volume Number57
dc.accessType Abstract Only


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