Do gulf stock markets share time varying connectedness

Tareq Saeed, Neeraj Nautiyal, Mobeen Ur Rehman, Hamed Hamdan Alsulami and Mohammad S. Alhothuali

Applied Economics, 2023, vol. 55, issue 48, 5700-5718

Abstract: This article examines the presence of spillover and time varying correlation between returns of Islamic stock markets in the Gulf region. Our sample comprises six Gulf equity market returns i.e. Oman, the UAE, KSA, Bahrain, Qatar and Kuwait ranging from June 2005 to January 2022. We use spillover and wavelet multiple cross-correlation methods for data analysis. Our results highlight that the equity markets of Oman and UAE exhibit significant correlation with each other in the medium-run investment period which decreases in the short-run. UAE highlights significant integration with rest of the Gulf markets. Our results also highlight spillover between the stock returns of UAE and Oman during both short- and long-run periods. Among all markets, UAE appears to exhibit maximum integration with other markets. These results carry implications for the investment in the Gulf stock markets during different investment horizons.

Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2022.2140119 (text/html)
Access to full text is restricted to subscribers.

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:taf:applec:v:55:y:2023:i:48:p:5700-5718

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2022.2140119

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().