Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries

Awartani, B. and Maghyereh, A.I. 2013. Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries. Energy Economics. 36, pp. 28-42. doi:10.1016/j.eneco.2012.11.024

TitleDynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries
AuthorsAwartani, B. and Maghyereh, A.I.
Abstract

This article exploits a new spillover directional measure proposed by Diebold and Yilmaz (2009, 2012) to investigate the dynamic spillover of return and volatility between oil and equities in the Gulf Cooperation Council Countries during the period 2004 to 2012. Our results indicate that return and volatility transmissions are bi-directional, albeit asymmetric. In particular, the oil market gives other markets more than it receives in terms of both returns and volatilities. These trends were more pronounced in the aftermath of the Global Financial Crisis in 2008 as the net contribution of oil has intensified after a burst during the crisis. The empirical evidence from the sample is consistent with a system in which oil is playing the dominant role in the information transmission mechanism between oil and equities in the GCC countries.

JournalEnergy Economics
Journal citation36, pp. 28-42
ISSN0140-9883
Year2013
PublisherElsevier
Digital Object Identifier (DOI)doi:10.1016/j.eneco.2012.11.024
Publication dates
Published in printMar 2013
Published online04 Dec 2012
Published04 Dec 2012

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