Return and volatility transmission between world oil prices and stock markets of the GCC countries

By Mohamed Arouri, Amine Lahiani, Duc Khuong Nguyen. 2011

432 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/915ad1cf201486b651db4e4a468c7121ebdb3b95

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. George Filis
2. Stavros Degiannakis *
3. Vipin Arora
4. Sang Hoon Kang
5. Ioannis Chatziantoniou
6. Nikolaos Antonakakis
7. David Gabauer
8. Walid Mensi

In Finance

1. George Filis
2. Stavros Degiannakis *
3. Sang Hoon Kang
4. Walid Mensi
5. David Gabauer
6. Ioannis Chatziantoniou
7. Aktham Issa Maghyereh
8. B. Awartani

Citations in the corpus

• Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries (2017, positive): “We find that, most of the time, the correlations between oil and equities are positive, which is in line with Arouri et al. (2011), Filis et al. (2011), Awartani and Maghyereh (2013), among others.”
• How Does Oil Market Uncertainty Interact with Other Markets? An Empirical Analysis of Implied Volatility Index (2013, neutral): “[10] took a VARGARCH model to examine the extent of volatility transmission”
• Oil volatility, oil and gas firms and portfolio diversification (2018, background): “Boldanov et al. (2016) also show that the relationship between oil and stock market volatilities is time-varying, although they report that volatility correlations are intensified during the 2007-09 financial crisis. Importantly, they suggest that there is heterogeneity in these correlations between”
• The relationship between energy and equity markets: evidence from volatility impulse response functions (2014, background): “11 It should be noted that prior literature on oil-equity volatility spillovers tends not to include additional explanatory variables at all (see for example, Arouri et al., 2011, 2012; Mensi et al., 2013).”
• Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018, background): “Awartani and Maghyereh (2013) provide support to the findings by Arouri et al. (2011b), as they also focus on the same stock markets and show that oil market volatility is the main transmitter of volatility shocks to stocks markets, rather than the reverse.”
• Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013, methodology): “These spillovers have substantially increased during the crisis period under the effects of important financial instability and economic uncertainties (Arouri et al., 2011).”
• Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets (2021, background): “A second strand of literature used a variety of multivariate generalized autoregressive conditional heteroskedasticity (GARCH)models to analyze the dynamic conditional correlations, and the transmission of returns and volatility between crude oil and stock markets (Arouri et al., 2011; Sadorsky, 201”
• Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis (2014, background): “…issue has been basically apprehended in the international finance literature and various empirical methodologies including cointegration approach (Arouri et al., 2011), error correction models, univariate and multivariate ARCH/GARCH-type models (Lin et al., 1994; Theodossiou and Lee, 1993;…”