This article extends the understanding of oil-stock market relationships over the last turbulent decade. Unlike previous empirical investigations, which have largely focused on broad-based market indices (national and/or regional indices), we examine short-term linkages in the aggregate as well...

This paper uses a time-varying parameter model with generalized autoregressive conditional heteroscedasticity effects to examine the dynamic behavior of crude-oil prices for the period February 7, 1997-January 8, 2010. Using data from four countries of the Gulf Cooperation Council, we find...

Purpose – This paper aims to empirically reexamine the dynamic changes in emerging market volatility around stock market liberalization. Design/methodology/approach – First, a bivariate GARCH‐M model which counts for partial market integration is developed for modeling stock market...

Purpose – The purpose of this paper is to propose an empirical procedure for examining the time‐varying features of cross‐market correlations in selected Gulf stock markets. Design/methodology/approach – The paper directly infers the cross‐market linkages from the stock data using a...