Journal article
Impact of macroeconomic factors and country risk ratings on GCC stock markets: evidence from a dynamic panel threshold model with regime switching
Applied economics, v 49(13), pp 1255-1272
16 Mar 2017
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This study examines the non-linear relationship between stock markets in GCC countries and their country risk ratings as well as with major macroeconomic factors. Based on a dynamic panel threshold model with two and four regimes, the results provide evidence of short-term asymmetry between first-lagged GCC stock returns and the performance of GCC stock markets. In addition, only the financial risk (FR) rating has a significant positive effect on the performance of GCC stock markets according to the prevailing regimes for the GCC lagged returns and the Brent oil market. Among the macroeconomic factors, improvements in the global stock markets, the MSCI Global Islamic Index, and the oil price increased the performance of GCC stock markets, whereas increases in the gold price, the 3-month U.S. Treasury bill rate, and the U.S. Treasury bond rate reduced the performance of the GCC stock markets. These results have important implications for investors, policymakers, and portfolio managers.
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Details
- Title
- Impact of macroeconomic factors and country risk ratings on GCC stock markets: evidence from a dynamic panel threshold model with regime switching
- Creators
- Walid Mensi - Department of Finance and Accounting, University of Tunis El Manar, Tunis, Tunisia; Department of Finance and Investment, College of Economics and Administrative Sciences, Al Imam Mohammad Ibn Saud Islamic University, Riyadh, Saudi ArabiaShawkat Hammoudeh - IPAG Business SchoolSeong-Min Yoon - Department of Economics, Pusan National University, Busan, Republic of Korea; IPAG Business School, Paris, FranceMehmet Balcilar - Eastern Mediterranean University
- Publication Details
- Applied economics, v 49(13), pp 1255-1272
- Publisher
- Routledge
- Grant note
- NRF-2013S1A3A2042747 / National Research Foundation of Korea (10.13039/501100003725)
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000392224600002
- Scopus ID
- 2-s2.0-84980360998
- Other Identifier
- 991019167828204721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics