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AuthorAl-Maadid, A.
AuthorSpagnolo, F.
AuthorSpagnolo, N.
Available date2021-06-23T11:14:56Z
Publication Date2016-08-11
Publication NameHandbook of Frontier Markets: Evidence from Middle East North Africa and International Comparative Studies
Identifierhttp://dx.doi.org/10.1016/B978-0-12-809200-2.00003-8
CitationAl-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.
ISBN9780128094914
ISBN9780128092002
URIhttps://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85017432350&origin=inward
URIhttp://hdl.handle.net/10576/20830
AbstractThe 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.
Languageen
PublisherElsevier
SubjectC32
F36
G15
GCC Stock
Oil prices
VAR-GARCH model
Volatility spillover
TitleStock Prices and Crude Oil Shocks: The Case of GCC Countries
TypeArticle
Pagination33-47
dc.accessType Abstract Only


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