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Journal article
Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets
The Quarterly review of economics and finance, v 49(3), pp 829-842
01 Aug 2009
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Abstract
The major objectives of this study are twofold. The first objective is to examine the dynamic volatility and volatility transmission in a multivariate setting using the VAR(1)-GARCH(1,1) model for three major sectors, namely, Service, Banking and Industrial/or Insurance, in four Gulf Cooperation Council (GCC)'s economies (Kuwait, Qatar, Saudi Arabia and UAE). The second is to use the models' results to compute and analyze the optimal weights and hedge ratios for two-sector portfolio holdings, comprised of the three sectors for each country. The results suggest that past own volatilities matter more than past shocks and there are moderate volatility spillovers between the sectors within the individual countries, with the exception of Qatar. Moreover, the values for ratios of hedging long positions with short positions in the GCC sectors are smaller than those for the US equity sectors. The optimal portfolio weights favor the Banking/financial sector for Qatar, Saudi Arabia and UAE and the Industrial sector for Kuwait. (C) 2009 Published by Elsevier B.V. on behalf of the Board of Trustees of the University of Illinois.
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Details
- Title
- Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets
- Creators
- Shawkat M. Hammoudeh - Drexel UniversityYuan Yuan - Drexel UniversityMichael McAleer - National Chung Hsing University
- Publication Details
- The Quarterly review of economics and finance, v 49(3), pp 829-842
- Publisher
- Elsevier
- Number of pages
- 14
- Grant note
- Australian Research Council
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000437616300008
- Scopus ID
- 2-s2.0-67649831375
- Other Identifier
- 991019168087804721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics