Journal article
Shock and volatility transmission in the oil, US and Gulf equity markets
International review of economics & finance, v 16(3), pp 357-368
2007
Abstract
This paper examines the volatility and shock transmission mechanism among US equity, global crude oil market, and equity markets of Saudi Arabia, Kuwait, and Bahrain. Our results show significant transmission among second moments. In all cases, Gulf equity markets receive volatility from the oil market but only in the case of Saudi Arabia we found a significant volatility spillover from the Saudi market to the oil market. Our results are important for building accurate asset pricing models, forecasting future equity and oil price return volatility, and will further our understanding of the interaction of the stock markets of Gulf countries vis-à-vis the US equity market and the global oil market.
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304 citations in Scopus
Details
- Title
- Shock and volatility transmission in the oil, US and Gulf equity markets
- Creators
- Farooq Malik - University of Southern MississippiShawkat Hammoudeh - Department of Economics and International Business, Lebow College of Business, Drexel University, Philadelphia, PA 19104-2875, United States
- Publication Details
- International review of economics & finance, v 16(3), pp 357-368
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Scopus ID
- 2-s2.0-34447528942
- Other Identifier
- 991019173868304721