Transmission of Stock Price Movements: The Case of GCC Stock Markets

Assaf Ata
Additional contact information
Assaf Ata: University of Windsor

Review of Middle East Economics and Finance, 2003, vol. 1, issue 2, 73-92

Abstract: Using a vector autoregressive analysis, this paper investigates the dynamic interactions among stock market returns from six Gulf Cooperation Council (GCC) countries (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and United Arab Emirates). The empirical investigation is conducted using weekly data from 15 January 1997 to 26 April 2000. During this period, significant steps were taken that intensified financial integration in the GCC region, including privatization policies, increased liberalization of the financial markets and easier entrance of foreign investors to the stock markets. Our empirical evidence suggests the following: (1) there is substantial evidence of interdependence and feedback effects among GCC stock markets; (2) Bahrain plays a dominant role in influencing the GCC markets with a significant persistent impact beyond weeks one and two; (3) Saudi Arabia shows a slow process in responding to shocks originated in other markets; and (4) markets are not completely efficient in processing regional news, providing an opportunity for portfolio diversification at the regional level.

Keywords: Granger causality; Gulf Cooperation Council (GCC); vector autoregressive model (search for similar items in EconPapers)
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
https://doi.org/10.2202/1475-3693.1010 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:rmeecf:v:1:y:2003:i:2:n:5

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/rmeef/html

DOI: 10.2202/1475-3693.1010

Access Statistics for this article

Review of Middle East Economics and Finance is currently edited by Ghassan Dibeh

More articles in Review of Middle East Economics and Finance from De Gruyter
Bibliographic data for series maintained by Peter Golla ().