Shock and volatility transmission in the oil, US and Gulf equity markets

Farooq Malik, Shawkat Hammoudeh

Research output: Contribution to journalArticlepeer-review

233 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)357-368
Number of pages12
JournalInternational Review of Economics and Finance
Volume16
Issue number3
DOIs
StatePublished - 2007
Externally publishedYes

Keywords

  • Multivariate GARCH
  • Oil prices
  • Stock returns
  • Volatility

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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