Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries

Basel Awartani; Aktham I. Maghyereh; Mohammad Al Shiab

doi:10.1016/j.intfin.2013.08.002

Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries

Basel Awartani, Aktham I. Maghyereh, Mohammad Al Shiab

Research output: Contribution to journal › Article › peer-review

31 Citations (Scopus)

Abstract

The paper investigates returns and returns volatility spillovers from the U.S. and the Saudi market to equity markets in the Gulf Cooperation Council countries. A clear jump in net transmissions from both markets was spotted during the financial crisis in 2008. This new pattern of information transmission reflects an increase in association with the U.S. and the Saudi market. Therefore, we may conclude that the strong inter and intra diversification potential that once existed in the Gulf Cooperation Council Countries has been severely impaired in recent years.

Original language	English
Pages (from-to)	224-242
Number of pages	19
Journal	Journal of International Financial Markets, Institutions and Money
Volume	27
Issue number	1
DOIs	https://doi.org/10.1016/j.intfin.2013.08.002
Publication status	Published - Dec 2013

Keywords

Dynamic correlations
Spillovers
Stock returns
Volatility

ASJC Scopus subject areas

Finance
Economics and Econometrics

Access to Document

10.1016/j.intfin.2013.08.002

Cite this

@article{aca30b42efe54b919dea66a5f869d95a,

title = "Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries",

abstract = "The paper investigates returns and returns volatility spillovers from the U.S. and the Saudi market to equity markets in the Gulf Cooperation Council countries. A clear jump in net transmissions from both markets was spotted during the financial crisis in 2008. This new pattern of information transmission reflects an increase in association with the U.S. and the Saudi market. Therefore, we may conclude that the strong inter and intra diversification potential that once existed in the Gulf Cooperation Council Countries has been severely impaired in recent years.",

keywords = "Dynamic correlations, Spillovers, Stock returns, Volatility",

author = "Basel Awartani and Maghyereh, {Aktham I.} and Shiab, {Mohammad Al}",

year = "2013",

month = dec,

doi = "10.1016/j.intfin.2013.08.002",

language = "English",

volume = "27",

pages = "224--242",

journal = "Journal of International Financial Markets, Institutions and Money",

issn = "1042-4431",

publisher = "Elsevier BV",

number = "1",

}

TY - JOUR

T1 - Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries

AU - Awartani, Basel

AU - Maghyereh, Aktham I.

AU - Shiab, Mohammad Al

PY - 2013/12

Y1 - 2013/12

N2 - The paper investigates returns and returns volatility spillovers from the U.S. and the Saudi market to equity markets in the Gulf Cooperation Council countries. A clear jump in net transmissions from both markets was spotted during the financial crisis in 2008. This new pattern of information transmission reflects an increase in association with the U.S. and the Saudi market. Therefore, we may conclude that the strong inter and intra diversification potential that once existed in the Gulf Cooperation Council Countries has been severely impaired in recent years.

AB - The paper investigates returns and returns volatility spillovers from the U.S. and the Saudi market to equity markets in the Gulf Cooperation Council countries. A clear jump in net transmissions from both markets was spotted during the financial crisis in 2008. This new pattern of information transmission reflects an increase in association with the U.S. and the Saudi market. Therefore, we may conclude that the strong inter and intra diversification potential that once existed in the Gulf Cooperation Council Countries has been severely impaired in recent years.

KW - Dynamic correlations

KW - Spillovers

KW - Stock returns

KW - Volatility

UR - http://www.scopus.com/inward/record.url?scp=84886613670&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84886613670&partnerID=8YFLogxK

U2 - 10.1016/j.intfin.2013.08.002

DO - 10.1016/j.intfin.2013.08.002

M3 - Article

AN - SCOPUS:84886613670

SN - 1042-4431

VL - 27

SP - 224

EP - 242

JO - Journal of International Financial Markets, Institutions and Money

JF - Journal of International Financial Markets, Institutions and Money

IS - 1

ER -

Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this