Do Gulf Cooperation Countries' equity markets waltz or tango to spillovers?
Year: 2012
Type: article
Abstract: This paper analyses the impact of global and regional spillovers to GCC equity markets. GCC equity markets were impacted by spillovers from US equity markets despite varying degrees of foreign participation. Spillovers from regional equity markets were also important but the magnitude of the effects was on average smaller than that from mature markets. The results also illustrated episodes of contagion, in particular during the recent global financial crisis. The findings suggest that the degree of interconnectedness between the GCC and global financial markets, given their longstanding net creditor status, underscores the financial channel as an important source through which volatility is transmitted. In this regard, GCC equity markets are not immune from global and regional financial shocks. These findings cast doubts on the notion among some analysts of decoupling between the GCC and global equity markets.
Authors: Tahsin Saadi Sedik, Oral H. Williams
Institution: International Monetary Fund
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2046420966