Dynamic Spillovers between Gulf Cooperation Council’s Stocks, VIX, Oil and Gold Volatility Indices

Journal of Risk and Financial Management

Julien Chevallier¹  Abdullah Alqahtani² 

[1] Department of Economics & Management, IPAG Business School (IPAG Lab), 184 bd Saint-Germain, 75006 Paris, France;Sawyer Business School, Suffolk University, Boston, 73 Tremont St, Boston, MA 02108, USA;

关键词: Gulf Cooperation Council;    DCC-GARCH;    VIX;    oil;    gold;   

DOI  :  10.3390/jrfm13040069

来源: DOAJ

【 摘 要 】

This paper analyzes the conditional correlations between the stock market returns of countries that are members of the Gulf Cooperation Council (GCC). The innovative aspects of the paper consist of focusing on three volatility indices: the oil (OVX), gold (GVZ), and S&P500 (VIX) markets (considered in log-difference). We use weekly data and resort to DCC-GARCH modeling. The novelty of the paper consists in revealing that: (i) GCC stock market returns are negatively correlated with each of the volatility measures, and the correlations are stronger during crisis periods; (ii) GCC stock returns are mostly correlated with oil shocks; and (iii) Saudi Arabia and Qatar are the most responsive to all shocks among the GCC countries, while Bahrain correlates weakly to shocks in oil, gold, and VIX. The most striking results feature extra sensitivity of Saudi Arabia and Qatar in terms of volatility indices, which should be the foremost concern of policymakers and banking analysts.

【 授权许可】

Unknown