Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries

By B. Awartani, Aktham Issa Maghyereh. Energy Economics, 2013

349 citations recorded by the source corpus.

This article exploits a new spillover directional measure proposed by Diebold and Yilmaz (2009, 2012) to investigate the dynamic spillover of return and volatility between oil and equities in the Gulf Cooperation Council Countries during the period 2004 to 2012. Our results indicate that return and volatility transmissions are bi-directional, albeit asymmetric. In particular, the oil market gives other markets more than it receives in terms of both returns and volatilities. These trends were more pronounced in the aftermath of the Global Financial Crisis in 2008 as the net contribution of oil has intensified after a burst during the crisis. The empirical evidence from the sample is consistent with a system in which oil is playing the dominant role in the information transmission mechanism between oil and equities in the GCC countries.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/ff3944474ab40e30594d56d3a9bcd1f5cde47b7b

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Citations in the corpus

Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries (2017, background): “…includes studies such as Arouri and Nguyen (2010), Baur and McDermott (2010), Choi and Hammoudeh (2010), Filis et al. (2011), Arouri et al. (2012), Awartani and Maghyereh (2013), Awartani et al. (2013), Ciner et al. (2013), Creti et al. (2013), Guesmi and Fattoum (2014), Lean and Wong (2015),…”
Volatility Spillovers Across Petroleum Markets (2015, background): “Spillovers among various trading centers were also analyzed by Awartani and Maghyereh (2012), who investigated the dynamics of the return and volatility spillovers between oil and equities in the Gulf region.”
Oil volatility, oil and gas firms and portfolio diversification (2018, background): “, 2014, and references therein), while only very recently authors focus on the volatility interrelationships between oil and stock market returns, mainly in terms of volatility spillovers (see, for example, Malik and Hammoudeh, 2007; Malik and Ewing, 2009; Arouri et al., 2011a,b, 2012; Sadorsky, 201”
The relationship between energy and equity markets: evidence from volatility impulse response functions (2014, background): “Recent studies investigating transmission between the oil market and equity markets include Arouri and Rault (2012), Awartani and Maghyereh (2013) and Akoum, Graham, Kivihaho, Nikkinen, and Omran (2012), Arouri, Jouini, and Nguyen (2012).”
Oil shocks and stock markets: dynamic connectedness under the prism of recent geopolitical and economic unrest (2017, result): “Our study builds upon the study of Awartani and Maghyereh (2013), which also employs the Diebold and Yilmaz (2012) methodology.”
The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016, methodology): “11 In the context of oil equity volatility spillovers, these measures are used by Awartani and Maghyereh (2013) who provided evidence that the volatility transmission mechanism in the GCC countries is dominated by volatility transmissions from the oil market.”