Return and volatility transmission between world oil prices and stock markets of the GCC countries
Mohamed Arouri (),
Amine Lahiani and
Duc Khuong Nguyen
Economic Modelling, 2011, vol. 28, issue 4, 1815-1825
This paper investigates the return links and volatility transmission between oil and stock markets in the Gulf Cooperation Council (GCC) countries over the period 2005-2010. We employ a recent generalized VAR-GARCH approach which allows for transmissions in return and volatility. In addition, we analyze the optimal weights and hedge ratios for oil-stock portfolio holdings. On the whole, our results point to the existence of substantial return and volatility spillovers between world oil prices and GCC stock markets, and appear to be crucial for international portfolio management in the presence of oil price risk.
Keywords: Oil; prices; GCC; stock; markets; Optimal; portfolio; designs; Hedge; ratios; VAR-GARCH; models (search for similar items in EconPapers)
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Working Paper: Return and volatility transmission between world oil prices and stock markets of the GCC countries (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:28:y:2011:i:4:p:1815-1825
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