Financial connectedness of GCC emerging stock markets

Ngo Thai Hung ()
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Ngo Thai Hung: University of Finance-Marketing

Eurasian Economic Review, 2021, vol. 11, issue 4, No 8, 753-773

Abstract: Abstract This paper investigates the financial interrelatedness via mean and volatility spillovers across stock markets for the Gulf Cooperation Council countries (Bahrain, Kuwait, Qatar, Oman, Saudi Arabia, and the United Arab Emirates) during the period 2008–2019 utilizing both the spillover index and the multivariate DECO-GARCH model. The results suggest that the average return equicorrelation among GCC stock markets is positive, even though it is found to be very time-varying with specific periods, which impair the benefits of GCC portfolio diversification. Besides, our spillover analysis findings provide several straightforward insights into both the level and the dynamics of stock market integration in the GCC countries over the past 10 years. Our results report significant heterogeneity among GCC stock markets in the degree of spillovers over time, strengthening our understanding of the economic channels through which GCC equity markets are correlated.

Keywords: GCC; Volatility spillover; DECO; Stock markets (search for similar items in EconPapers)
JEL-codes: C15 C51 G15 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (10)

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DOI: 10.1007/s40822-021-00185-2

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