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Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries

Basel Awartani (basela262@gmail.com), Aktham Maghyereh and Mohammad Al Shiab

Journal of International Financial Markets, Institutions and Money, 2013, vol. 27, issue C, 224-242

Abstract: The paper investigates returns and returns volatility spillovers from the U.S. and the Saudi market to equity markets in the Gulf Cooperation Council countries. A clear jump in net transmissions from both markets was spotted during the financial crisis in 2008. This new pattern of information transmission reflects an increase in association with the U.S. and the Saudi market. Therefore, we may conclude that the strong inter and intra diversification potential that once existed in the Gulf Cooperation Council Countries has been severely impaired in recent years.

Keywords: Stock returns; Volatility; Spillovers; Dynamic correlations (search for similar items in EconPapers)
JEL-codes: F44 G1 G15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:27:y:2013:i:c:p:224-242

DOI: 10.1016/j.intfin.2013.08.002

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Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

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