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Revisiting volatility spillovers in the Gulf Cooperation Council

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  • Salem Adel Ziadat
  • Ritab AlKhouri

Abstract

This research offers a comprehensive review of the volatility spillover patterns in the Gulf Cooperation Council (GCC) stock market indexes covering daily data from 2/1/2004 to 5/11/2020. During this period, stock markets experienced fluctuations due to unexpected shocks, such as the international financial crisis, oil price shocks and, lately, the pandemic of COVID-19. The findings reveal a substantial increase in the connectedness of returns and volatilities in the GCC bloc during high stress periods with the COVID-19 era marking a historical high. That said, the results do not support significant changes in the directional patterns of volatility during the pandemic.

Suggested Citation

  • Salem Adel Ziadat & Ritab AlKhouri, 2022. "Revisiting volatility spillovers in the Gulf Cooperation Council," Cogent Economics & Finance, Taylor & Francis Journals, vol. 10(1), pages 2031683-203, December.
    • Handle: RePEc:taf:oaefxx:v:10:y:2022:i:1:p:2031683
    DOI: 10.1080/23322039.2022.2031683
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    Cited by:

    1. Kapar, Burcu & Billah, Syed Mabruk & Rana, Faisal & Balli, Faruk, 2024. "An investigation of the frequency dynamics of spillovers and connectedness among GCC sectoral indices," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1442-1467.
    2. Fetais, Alanoud Hamad & Aysan, Ahmet Faruk & Nagayev, Ruslan, 2024. "Navigating the complexities of GCC real state markets: An analysis of interlinkages amidst shocks and oil effects," Journal of Multinational Financial Management, Elsevier, vol. 74(C).

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