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Inter- and intra-regional stock market relations for the GCC bloc

Salem Adel Ziadat, Patrick Herbst and David G. McMillan

Research in International Business and Finance, 2020, vol. 54, issue C

Abstract: This paper examines the patterns of information transmission for equity markets in the seven Gulf Cooperation Council countries over the period from 2004 to 2019. Using weekly data, correlations and spillovers both within the region and from the US, the EU and Japan are modelled through the Dynamic Conditional Correlation-GARCH model and the Diebold-Yilmaz spillover index. While GCC markets exhibit increasing correlations with, primarily, the EU and, to a lesser extent, the US, they nonetheless remain relatively less interlinked globally. Our findings support significant return and volatility spillovers from the EU and the US to the GCC markets, with stronger spillovers from the EU. Intra-regionally, the UAE is the main transmitter and receiver of spillovers between the GCC and world markets. Furthermore, we see evidence of a decoupling pattern within the GCC countries, with notable segmentation in the markets of Bahrain and Kuwait.

Keywords: GCC; Stock markets; Correlation; Spillovers (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919310013

DOI: 10.1016/j.ribaf.2020.101292

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