Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries
Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries
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DOI：
10.1016/j.eneco.2012.11.024
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发表时间：
2013-03-01
期刊：
影响因子：
12.8
通讯作者：
Maghyereh, Aktham Issa
中科院分区：
文献类型：
--
作者：
Awartani, Basel;Maghyereh, Aktham Issa
本文利用Diebold和Yilmaz（2009，2012）提出的一种新的溢出方向测度，考察了2004 - 2012年期间海湾合作理事会国家石油和股票收益率和波动率之间的动态溢出效应。我们的研究结果表明，收益率和波动率的传输是双向的，虽然不对称。特别是，石油市场在回报和波动性方面给予其他市场的比它得到的更多。这些趋势在2008年全球金融危机之后更加明显，因为石油的净贡献在危机期间爆发后有所加强。样本的经验证据与海湾合作委员会国家石油在石油与股票之间的信息传递机制中发挥主导作用的制度是一致的。(C)2012爱思唯尔有限公司版权所有。
This article exploits a new spillover directional measure proposed by Diebold and Yilmaz (2009, 2012) to investigate the dynamic spillover of return and volatility between oil and equities in the Gulf Cooperation Council Countries during the period 2004 to 2012. Our results indicate that return and volatility transmissions are bi-directional, albeit asymmetric. In particular, the oil market gives other markets more than it receives in terms of both returns and volatilities. These trends were more pronounced in the aftermath of the Global Financial Crisis in 2008 as the net contribution of oil has intensified after a burst during the crisis. The empirical evidence from the sample is consistent with a system in which oil is playing the dominant role in the information transmission mechanism between oil and equities in the GCC countries. (C) 2012 Elsevier B.V. All rights reserved.