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Financial connectedness of GCC emerging stock markets

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  • Ngo Thai Hung

    (University of Finance-Marketing)

Abstract

This paper investigates the financial interrelatedness via mean and volatility spillovers across stock markets for the Gulf Cooperation Council countries (Bahrain, Kuwait, Qatar, Oman, Saudi Arabia, and the United Arab Emirates) during the period 2008–2019 utilizing both the spillover index and the multivariate DECO-GARCH model. The results suggest that the average return equicorrelation among GCC stock markets is positive, even though it is found to be very time-varying with specific periods, which impair the benefits of GCC portfolio diversification. Besides, our spillover analysis findings provide several straightforward insights into both the level and the dynamics of stock market integration in the GCC countries over the past 10 years. Our results report significant heterogeneity among GCC stock markets in the degree of spillovers over time, strengthening our understanding of the economic channels through which GCC equity markets are correlated.

Suggested Citation

  • Ngo Thai Hung, 2021. "Financial connectedness of GCC emerging stock markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(4), pages 753-773, December.
    • Handle: RePEc:spr:eurase:v:11:y:2021:i:4:d:10.1007_s40822-021-00185-2
    DOI: 10.1007/s40822-021-00185-2
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    Cited by:

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    2. Zeravan Abdulmuhsen Asaad & Amjad Saber Al-Delawi & Omed Rafiq Fatah & Awaz Mohamed Saleem, 2023. "Oil Exports, Political Issues, and Stock Market Nexus," International Journal of Energy Economics and Policy, Econjournals, vol. 13(1), pages 362-373, January.
    3. Esmaeil Ebadi & Yousef Abdul Razaq, 2024. "Reinvestigating the Oil Dependency of the GCC Countries’ Stock Market: A Regime-Switching Cointegration Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 14(3), pages 387-406, May.
    4. Mardi Dungey & Moses Kangogo & Vladimir Volkov, 2022. "Dynamic effects of network exposure on equity markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(4), pages 569-629, December.
    5. Zeravan Abdulmuhsen Asaad & Amjad Saber Al-Delawi, 2022. "Iraqi Stock Exchange Reactions to the Oil price, Covid-19 Aftermath, and the Saudi Stock Exchange Movements pre-during Vaccination Program," International Journal of Energy Economics and Policy, Econjournals, vol. 12(5), pages 18-30, September.
    6. Al-Maadid, Alanoud & Alhazbi, Saleh & Al-Thelaya, Khaled, 2022. "Using machine learning to analyze the impact of coronavirus pandemic news on the stock markets in GCC countries," Research in International Business and Finance, Elsevier, vol. 61(C).

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    More about this item

    Keywords

    GCC; Volatility spillover; DECO; Stock markets;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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