IDEAS home Printed from https://ideas.repec.org/a/ebl/ecbull/eb-21-00740.html
   My bibliography  Save this article

Oil innovations and Gulf Cooperation Council stock market connectedness

Author

Listed:
  • Salem Adel Ziadat

    (Al-Ahliyya Amman University)

  • David Gordon McMillan

    (University of Striling)

Abstract

This study aims to examine the impact of oil price innovations on the connectedness level of GCC stock markets. The analysis utilises the oil price decomposition of Ready (2018) and monthly data from February 2004 to December 2019. Obtained following the Diebold and Yilmaz (2009, 2012) method, the connectedness index of GCC markets reacts significantly to oil innovations. Notably, the results highlight the importance of using oil price decompositions as opposed to the oil return itself. Within this, oil price volatility has a positive impact on GCC connectedness, while oil supply shocks lead to a decrease. Evidence from a quantile regression framework indicates an asymmetric dependence structure for GCC connectedness across different shocks.

Suggested Citation

  • Salem Adel Ziadat & David Gordon McMillan, 2021. "Oil innovations and Gulf Cooperation Council stock market connectedness," Economics Bulletin, AccessEcon, vol. 41(4), pages 2356-2369.
    • Handle: RePEc:ebl:ecbull:eb-21-00740
    as

    Download full text from publisher

    File URL: http://www.accessecon.com/Pubs/EB/2021/Volume41/EB-21-V41-I4-P204.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Salem Adel Ziadat & David G. McMillan, 2022. "Oil-stock nexus: the role of oil shocks for GCC markets," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 39(5), pages 801-818, May.

    More about this item

    Keywords

    GCC; Financial markets; co-movements; International Finance; Energy Finance; Spillovers; oil price shocks;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-21-00740. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: John P. Conley (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.