Revisiting volatility spillovers in the Gulf Cooperation Council
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 f...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2022-12-01
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| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/23322039.2022.2031683 |
| _version_ | 1818323857178624000 |
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| author | Salem Ziadat Ritab AlKhouri |
| author_facet | Salem Ziadat Ritab AlKhouri |
| author_sort | Salem Ziadat |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-13T11:19:21Z |
| format | Article |
| id | doaj.art-1f96767769004e3cbd4b6c3c751b5283 |
| institution | Directory Open Access Journal |
| issn | 2332-2039 |
| language | English |
| last_indexed | 2024-12-13T11:19:21Z |
| publishDate | 2022-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj.art-1f96767769004e3cbd4b6c3c751b52832022-12-21T23:48:32ZengTaylor & Francis GroupCogent Economics & Finance2332-20392022-12-0110110.1080/23322039.2022.20316832031683Revisiting volatility spillovers in the Gulf Cooperation CouncilSalem Ziadat0Ritab AlKhouri1Al-Ahliyya Amman UniversityUniversity of StirlingThis 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.http://dx.doi.org/10.1080/23322039.2022.2031683spilloverscorrelationinternational finance |
| spellingShingle | Salem Ziadat Ritab AlKhouri Revisiting volatility spillovers in the Gulf Cooperation Council Cogent Economics & Finance spillovers correlation international finance |
| title | Revisiting volatility spillovers in the Gulf Cooperation Council |
| title_full | Revisiting volatility spillovers in the Gulf Cooperation Council |
| title_fullStr | Revisiting volatility spillovers in the Gulf Cooperation Council |
| title_full_unstemmed | Revisiting volatility spillovers in the Gulf Cooperation Council |
| title_short | Revisiting volatility spillovers in the Gulf Cooperation Council |
| title_sort | revisiting volatility spillovers in the gulf cooperation council |
| topic | spillovers correlation international finance |
| url | http://dx.doi.org/10.1080/23322039.2022.2031683 |
| work_keys_str_mv | AT salemziadat revisitingvolatilityspilloversinthegulfcooperationcouncil AT ritabalkhouri revisitingvolatilityspilloversinthegulfcooperationcouncil |