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Volatility Spillover in Regional Emerging Stock Markets: A Structural Time-Series Approach

Author

Listed:
  • Talla Al-Deehani
  • Imad A. Moosa

Abstract

Volatility spillovers among the stock markets of Bahrain, Kuwait, and Saudi Arabia are investigated using the concept of stochastic volatility and structural time-series modeling. The results reveal volatility spillovers, in which the Kuwait market plays the major role. It is also found that volatility in one market cannot be explained fully in terms of volatility in the other two markets, but that, out of the three markets, the Kuwait market seems to be the most influential. Some explanations are put forward for why this is the case.

Suggested Citation

  • Talla Al-Deehani & Imad A. Moosa, 2006. "Volatility Spillover in Regional Emerging Stock Markets: A Structural Time-Series Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 42(4), pages 78-89, July.
    • Handle: RePEc:mes:emfitr:v:42:y:2006:i:4:p:78-89
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    Citations

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    Cited by:

    1. Syed Abul, Basher & Salem, Nechi & Hui, Zhu, 2014. "Dependence patterns across Gulf Arab stock markets: a copula approach," MPRA Paper 56566, University Library of Munich, Germany.
    2. Kim, Jun Sik & Ryu, Doojin, 2014. "Intraday price dynamics in spot and derivatives markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 247-253.
    3. Mnasri, Ayman & Nechi, Salem, 2016. "Impact of terrorist attacks on stock market volatility in emerging markets," Emerging Markets Review, Elsevier, vol. 28(C), pages 184-202.
    4. Noureddine Benlagha & Wael Hemrit, 2022. "Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(1), pages 1-21, January.
    5. Tabak, Benjamin M. & de Castro Miranda, Rodrigo & da Silva Medeiros, Maurício, 2016. "Contagion in CDS, banking and equity markets," Economic Systems, Elsevier, vol. 40(1), pages 120-134.
    6. Roni Bhowmik & Abbas Ghulam & Wang Shouyang, 2018. "Return and Volatility Spillovers Effects: Study of Asian Emerging Stock Markets," Journal of Systems Science and Information, De Gruyter, vol. 6(2), pages 97-119, April.
    7. Chi Keung Marco Lau & Mehmet Huseyin Bilgin, 2013. "Hedging with Chinese Aluminum Futures: International Evidence with Return and Volatility Spillover Indices Under Structural Breaks," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S1), pages 37-48, January.
    8. Youssef, Mouna & Mokni, Khaled, 2018. "On the effect of herding behavior on dependence structure between stock markets: Evidence from GCC countries," Journal of Behavioral and Experimental Finance, Elsevier, vol. 20(C), pages 52-63.
    9. Aymen Ben Rejeb & Adel Boughrara, 2015. "Financial integration in emerging market economies: Effects on volatility transmission and contagion," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 15(3), pages 161-179, September.
    10. Faruk Balli & Xuan Hu & Faisal Rana, 2020. "Bond market integration of emerging economies and bilateral linkages," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 2039-2062, September.
    11. Murat Taşdemir & Abdullah Yalama, 2014. "Volatility Spillover Effects in Interregional Equity Markets: Empirical Evidence from Brazil and Turkey," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(2), pages 190-202, March.

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