FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2066957668> ?p ?o ?g. }

• W2066957668 endingPage "524" @default.
• W2066957668 startingPage "512" @default.
• W2066957668 abstract "Unlike previous studies, this paper examines volatility transmission patterns for pairs of six stock markets of countries of the Gulf Cooperation Council (GCC) and pairs of these markets with the three global markets (S&P 500 index, Oil-WTI prices and MSCI-world), using the Multi-Chain Markov Switching (MCMS) model. This approach allows for a distinction between well diverse transmission patterns including volatility spillover, interdependence, independence and co-movements, given changes from high to low volatility regimes and vice versa. The results find evidence of different transmission patterns between the GCC and the global markets, with stronger connections with the global equity than with the oil markets. These patterns are also highly sensitive to the regimes of the selected markets which are characterized by turbulence or tranquility. For the first global market (Oil-WTI), the results show evidence of strong interdependence between Oil and each of the Kuwait and Abu Dhabi markets. Additionally, there is spillover from Oil-WTI to Dubai whose economy depends on oil, real estate and tourism. Surprisingly, we find evidence of independence between Oil and each of the Saudi Arabia, Qatar and Oman markets. For the second global market (the U.S. S&P 500 index), the results support strong interdependence with Saudi Arabia, Dubai and Abu Dhabi. There is also spillover from the S&P 500 index to Kuwait and Oman. More interestingly, we find spillover from Qatar to the S&P 500 index. For the third global market (MSCI-World), there is interdependence between MSCI and Dubai. We also find evidence of spillover from the MSCI-world to Kuwait and Saudi Arabia. Finally, we provide results in terms of inference on the regimes of high and low volatility, allowing for the interpretation of the financial shocks and the dates in which they are transmitted from one market to another. Policy implications are also provided." @default.
• W2066957668 created "2016-06-24" @default.
• W2066957668 creator A5033559461 @default.
• W2066957668 creator A5038883380 @default.
• W2066957668 creator A5047313801 @default.
• W2066957668 date "2014-01-01" @default.
• W2066957668 modified "2023-10-08" @default.
• W2066957668 title "Patterns of volatility transmissions within regime switching across GCC and global markets" @default.
• W2066957668 cites W1970694313 @default.
• W2066957668 cites W1974486301 @default.
• W2066957668 cites W1985066035 @default.
• W2066957668 cites W1993830977 @default.
• W2066957668 cites W1997853288 @default.
• W2066957668 cites W2004534773 @default.
• W2066957668 cites W2011171190 @default.
• W2066957668 cites W2038285016 @default.
• W2066957668 cites W2048373198 @default.
• W2066957668 cites W2050037527 @default.
• W2066957668 cites W2062144930 @default.
• W2066957668 cites W2068138154 @default.
• W2066957668 cites W2078790260 @default.
• W2066957668 cites W2105434114 @default.
• W2066957668 cites W2121676017 @default.
• W2066957668 cites W2126114864 @default.
• W2066957668 cites W2140309737 @default.
• W2066957668 cites W3123068586 @default.
• W2066957668 doi "https://doi.org/10.1016/j.iref.2013.08.002" @default.
• W2066957668 hasPublicationYear "2014" @default.
• W2066957668 type Work @default.
• W2066957668 sameAs 2066957668 @default.
• W2066957668 citedByCount "44" @default.
• W2066957668 countsByYear W20669576682014 @default.
• W2066957668 countsByYear W20669576682015 @default.
• W2066957668 countsByYear W20669576682016 @default.
• W2066957668 countsByYear W20669576682017 @default.
• W2066957668 countsByYear W20669576682019 @default.
• W2066957668 countsByYear W20669576682020 @default.
• W2066957668 countsByYear W20669576682021 @default.
• W2066957668 countsByYear W20669576682022 @default.
• W2066957668 countsByYear W20669576682023 @default.
• W2066957668 crossrefType "journal-article" @default.
• W2066957668 hasAuthorship W2066957668A5033559461 @default.
• W2066957668 hasAuthorship W2066957668A5038883380 @default.
• W2066957668 hasAuthorship W2066957668A5047313801 @default.
• W2066957668 hasConcept C10138342 @default.
• W2066957668 hasConcept C106159729 @default.
• W2066957668 hasConcept C121087249 @default.
• W2066957668 hasConcept C136264566 @default.
• W2066957668 hasConcept C136764020 @default.
• W2066957668 hasConcept C139719470 @default.
• W2066957668 hasConcept C144133560 @default.
• W2066957668 hasConcept C162324750 @default.
• W2066957668 hasConcept C166957645 @default.
• W2066957668 hasConcept C17744445 @default.
• W2066957668 hasConcept C199539241 @default.
• W2066957668 hasConcept C199728807 @default.
• W2066957668 hasConcept C205649164 @default.
• W2066957668 hasConcept C2777382242 @default.
• W2066957668 hasConcept C2779343474 @default.
• W2066957668 hasConcept C2780299701 @default.
• W2066957668 hasConcept C41008148 @default.
• W2066957668 hasConcept C55527203 @default.
• W2066957668 hasConcept C556758197 @default.
• W2066957668 hasConcept C88389905 @default.
• W2066957668 hasConcept C91602232 @default.
• W2066957668 hasConceptScore W2066957668C10138342 @default.
• W2066957668 hasConceptScore W2066957668C106159729 @default.
• W2066957668 hasConceptScore W2066957668C121087249 @default.
• W2066957668 hasConceptScore W2066957668C136264566 @default.
• W2066957668 hasConceptScore W2066957668C136764020 @default.
• W2066957668 hasConceptScore W2066957668C139719470 @default.
• W2066957668 hasConceptScore W2066957668C144133560 @default.
• W2066957668 hasConceptScore W2066957668C162324750 @default.
• W2066957668 hasConceptScore W2066957668C166957645 @default.
• W2066957668 hasConceptScore W2066957668C17744445 @default.
• W2066957668 hasConceptScore W2066957668C199539241 @default.
• W2066957668 hasConceptScore W2066957668C199728807 @default.
• W2066957668 hasConceptScore W2066957668C205649164 @default.
• W2066957668 hasConceptScore W2066957668C2777382242 @default.
• W2066957668 hasConceptScore W2066957668C2779343474 @default.
• W2066957668 hasConceptScore W2066957668C2780299701 @default.
• W2066957668 hasConceptScore W2066957668C41008148 @default.
• W2066957668 hasConceptScore W2066957668C55527203 @default.
• W2066957668 hasConceptScore W2066957668C556758197 @default.
• W2066957668 hasConceptScore W2066957668C88389905 @default.
• W2066957668 hasConceptScore W2066957668C91602232 @default.
• W2066957668 hasLocation W20669576681 @default.
• W2066957668 hasOpenAccess W2066957668 @default.
• W2066957668 hasPrimaryLocation W20669576681 @default.
• W2066957668 hasRelatedWork W127723685 @default.
• W2066957668 hasRelatedWork W1581186231 @default.
• W2066957668 hasRelatedWork W2042417957 @default.
• W2066957668 hasRelatedWork W2087078335 @default.
• W2066957668 hasRelatedWork W2189441144 @default.
• W2066957668 hasRelatedWork W2239297661 @default.
• W2066957668 hasRelatedWork W2991142975 @default.
• W2066957668 hasRelatedWork W3006986884 @default.
• W2066957668 hasRelatedWork W3122047754 @default.

• next