EconPapers    
Economics at your fingertips  
 

Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment

Ahmed Khalifa (), S. Hammoudeh and Edoardo Otranto ()

Working Paper CRENoS from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia

Abstract: This study examines the volatility transmissions across the Gulf Arab states (GCC) stock markets and the linkages between these markets and the United States stock and oil markets, using the Multi-chain Markov Switching model. This approach enables the distinction between different transmission types including volatility spillover, interdependence, comovements and independence. The results demonstrate the presence of different transmissions between the markets and that the type of transmission is highly sensitive to the state of the economy characterized by turbulence or tranquility. They support strong interdependence between the oil price, the U.S. S&P 500 index, Saudi Arabia and Abu Dhabi. There is also a strong spillover from the U.S. S&P 500 index to Oman and Kuwait, but interdependence with Dubai. There are also different diversification opportunities between the GCC markets. Policy implications on portfolio strategies under different states are also discussed.

Keywords: gcc markets; s&p 500; oil price; multi-chain ms model; volatility transmissions (search for similar items in EconPapers)
JEL-codes: C32 G11 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link)
https://crenos.unica.it/crenos/node/3534
https://crenos.unica.it/crenos/sites/default/files/WP12-09.pdf (application/pdf)

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:cns:cnscwp:201209

Access Statistics for this paper

More papers in Working Paper CRENoS from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia Contact information at EDIRC.
Bibliographic data for series maintained by CRENoS ().

 
Page updated 2019-11-14
Handle: RePEc:cns:cnscwp:201209