Global and regional volatility spillovers to GCC stock markets

This paper examines the effects of return spillovers from regional (Saudi Arabia) and global (US) markets to GCC stock markets (Bahrain, Oman, Kuwait, Qatar, United Arab Emirates). The paper develops various bivariate GARCH models for regional and global returns: BEKK, constant correlation and dynam...

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Bibliographic details
Volume: 45
Main Author: Alotaibi, Abdullah R
Mishra, Anil V
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: AMSTERDAM Elsevier B.V 01.02.2015
ELSEVIER
published in: Economic modelling Vol. 45; pp. 38 - 49
ORCID: 0000-0002-4674-7500
Data of publication: February 2015
ISSN: 0264-9993
1873-6122
EISSN: 1873-6122
Discipline: Economics
Subjects:
CCC
DCC
CCC
DCC
Online Access: available in Bonn?
Database: Web of Knowledge
Social Sciences Citation Index
Web of Science
Web of Science - Social Sciences Citation Index - 2015
CrossRef
Academic OneFile (A&I only)
Database information Databases - DBIS