Dynamic spillovers between gulf cooperation council's stocks, VIX, oil and gold volatility indices

Artikel

This paper analyzes the conditional correlations between the stock market returns of countries that are members of the Gulf Cooperation Council (GCC). The innovative aspects of the paper consist of focusing on three volatility indices: the oil (OVX), gold (GVZ), and S&P500 (VIX) markets (considered in log-difference). We use weekly data and resort to DCC-GARCH modeling. The novelty of the paper consists in revealing that: (i) GCC stock market returns are negatively correlated with each of the volatility measures, and the correlations are stronger during crisis periods; (ii) GCC stock returns are mostly correlated with oil shocks; and (iii) Saudi Arabia and Qatar are the most responsive to all shocks among the GCC countries, while Bahrain correlates weakly to shocks in oil, gold, and VIX. The most striking results feature extra sensitivity of Saudi Arabia and Qatar in terms of volatility indices, which should be the foremost concern of policymakers and banking analysts.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 13 ; Year: 2020 ; Issue: 4 ; Pages: 1-17 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; International Finance: General ; Economic Impacts of Globalization: Finance
• Thema: DCC-GARCH ; gold ; Gulf Cooperation Council ; oil ; VIX

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Alqahtani, Abdullah ; Chevallier, Julien
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2020

Weitere Informationen

• DOI: doi:10.3390/jrfm13040069
• Handle: http://hdl.handle.net/10419/239157
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ