Article

Revisiting volatility spillovers in the Gulf Cooperation Council

Details

Citation

Ziadat S & AlKhouri R (2022) Revisiting volatility spillovers in the Gulf Cooperation Council. Cogent Economics and Finance, 10 (1), Art. No.: 2031683. https://doi.org/10.1080/23322039.2022.2031683

Abstract
This research offers a comprehensive review of the volatility spillover patterns in the Gulf Cooperation Council (GCC) stock market indexes covering daily data from 2/1/2004 to 5/11/2020. During this period, stock markets experienced fluctuations due to unexpected shocks, such as the international financial crisis, oil price shocks and, lately, the pandemic of COVID-19. The findings reveal a substantial increase in the connectedness of returns and volatilities in the GCC bloc during high stress periods with the COVID-19 era marking a historical high. That said, the results do not support significant changes in the directional patterns of volatility during the pandemic.

Keywords
spillovers; correlation; international finance

Journal
Cogent Economics and Finance: Volume 10, Issue 1

StatusPublished
Publication date31/12/2022
Publication date online28/02/2022
Date accepted by journal14/01/2022
URLhttp://hdl.handle.net/1893/34007
ISSN2332-2039
eISSN2332-2039

People (1)

People

Mr Salem Ziadat
Mr Salem Ziadat

PhD Researcher, Accounting & Finance

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