|Appears in Collections:||Accounting and Finance Journal Articles|
|Peer Review Status:||Refereed|
|Title:||Inter- and Intra-Regional Stock Market Relations for the GCC Bloc|
|Citation:||Ziadat S, Herbst P & McMillan D (2020) Inter- and Intra-Regional Stock Market Relations for the GCC Bloc. Research in International Business and Finance, 54, Art. No.: 101292. https://doi.org/10.1016/j.ribaf.2020.101292|
|Abstract:||This paper examines the patterns of information transmission for equity markets in the seven Gulf Cooperation Council countries over the period from 2004 to 2019. Using weekly data, correlations and spillovers both within the region and from the US, the EU and Japan are modelled through the Dynamic Conditional Correlation-GARCH model and the Diebold-Yilmaz spillover index. While GCC markets exhibit increasing correlations with, primarily, the EU and, to a lesser extent, the US, they nonetheless remain relatively less interlinked globally. Our findings support significant return and volatility spillovers from the EU and the US to the GCC markets, with stronger spillovers from the EU. Intra-regionally, the UAE is the main transmitter and receiver of spillovers between the GCC and world markets. Furthermore, we see evidence of a decoupling pattern within the GCC countries, with notable segmentation in the markets of Bahrain and Kuwait.|
|Rights:||This item has been embargoed for a period. During the embargo please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study. Accepted refereed manuscript of: Ziadat S, Herbst P & McMillan D (2020) Inter- and Intra-Regional Stock Market Relations for the GCC Bloc. Research in International Business and Finance, 54, Art. No.: 101292. https://doi.org/10.1016/j.ribaf.2020.101292 © 2020, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/|
|gcc_spills_revised.pdf||Fulltext - Accepted Version||826.07 kB||Adobe PDF||Under Embargo until 2022-01-11 Request a copy|
Note: If any of the files in this item are currently embargoed, you can request a copy directly from the author by clicking the padlock icon above. However, this facility is dependent on the depositor still being contactable at their original email address.
This item is protected by original copyright
A file in this item is licensed under a Creative Commons License
Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.
If you believe that any material held in STORRE infringes copyright, please contact email@example.com providing details and we will remove the Work from public display in STORRE and investigate your claim.