Journal article
Behavior of GCC stock markets and impacts of US oil and financial markets
Research in international business and finance, v 20(1), pp 22-44
01 Mar 2006
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
Within the vector-error correction (VEC) model, the short-run bilateral causal relationships among Gulf Cooperation Council's (GCC) weekly equity index returns are limited and mostly unidirectional. Their relationships with three global factors (the oil price, the US S&P 500 index, and the US T-bill rate) suggest that the US T-bill rate has direct influence on some of these segmented GCC markets. The S&P 500 index and the Western Texas Intermediate (WTI) or the Brent oil price have no such direct impact, implying that local or regional factors such as liquidity and profitability directly affect them. In contrast, the impulse response analysis suggests that the S&P 500 shocks have positive dynamic impacts on all GCC markets over a 20-week forecast horizon, implying that GCC stock markets rise with US markets, while the impact of the T-bill rate is important but mixed. Moreover, a positive oil shock will benefit most of GCC markets. The variance decomposition implies that the largest portions of total variations in GCC index returns come from their own domestic or other GCC shocks over the forecast horizon. Excepting the oil price factor, which accounts for 30 percent of Oman's and 19 percent of Saudi Arabia's total variations, the global factors account for only a small percentage of these stock markets' total variations. (C) 2005 Elsevier B.V. All rights reserved.
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Details
- Title
- Behavior of GCC stock markets and impacts of US oil and financial markets
- Creators
- Shawkat Hammoudeh - Department of Economics and International Business, Lebow College of Business, Drexel University, 3200 Market Street, Philadelphia, PA 19104-2875, USAKyongwook Choi - Department of Economics, Ohio University, 333 Bentley Annex, Athens, OH 45701, USA
- Publication Details
- Research in international business and finance, v 20(1), pp 22-44
- Publisher
- Elsevier
- Number of pages
- 23
- Grant note
- LeBow S. College of Business, Drexel University
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000213183600002
- Scopus ID
- 2-s2.0-32544451467
- Other Identifier
- 991019167736004721
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InCites Highlights
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- Collaboration types
- Domestic collaboration
- Web of Science research areas
- Business, Finance