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Oil-Stock Market Volatility in GCC by andaleebr is a document available to read on EtoBox.

What is Oil-Stock Market Volatility in GCC about?

This paper investigates return and volatility transmission between oil prices and stock markets in Gulf Cooperation Council countries from 2005-2010. It employs a Vector Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity model to analyze return and volatility spillovers between markets. The results point to substantial return and volatility spillovers between oil prices and GCC stock markets. Optimal weights and hedge ratios also indicate investors may benefit from including oil assets

Author

andaleebr

Language

EN