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- W3041569463 abstract "This paper examines the patterns of information transmission for equity markets in the seven Gulf Cooperation Council countries over the period from 2004 to 2019. Using weekly data, correlations and spillovers both within the region and from the US, the EU and Japan are modelled through the Dynamic Conditional Correlation-GARCH model and the Diebold-Yilmaz spillover index. While GCC markets exhibit increasing correlations with, primarily, the EU and, to a lesser extent, the US, they nonetheless remain relatively less interlinked globally. Our findings support significant return and volatility spillovers from the EU and the US to the GCC markets, with stronger spillovers from the EU. Intra-regionally, the UAE is the main transmitter and receiver of spillovers between the GCC and world markets. Furthermore, we see evidence of a decoupling pattern within the GCC countries, with notable segmentation in the markets of Bahrain and Kuwait." @default.
- W3041569463 created "2020-07-16" @default.
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- W3041569463 date "2020-12-01" @default.
- W3041569463 modified "2023-10-16" @default.
- W3041569463 title "Inter- and intra-regional stock market relations for the GCC bloc" @default.
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- W3041569463 doi "https://doi.org/10.1016/j.ribaf.2020.101292" @default.
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