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Regime shifts in asymmetric GARCH models assuming heavy-tailed distribution : evidence from GCC stock markets

Alfreedi, Ajab A.; Isa, Zaidi; Hassan, Abu - In: Journal of statistical and econometric methods 1 (2012) 1, pp. 43-76

variance equations overcomes the overestimation of volatility persistence. In addition, we have discovered that the sudden …

Persistent link: https://www.econbiz.de/10009769997

Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries

Awartani, Basel; Maghyereh, Aktham I. - In: Energy economics 36 (2013), pp. 28-42

Persistent link: https://www.econbiz.de/10009724768

Idiosyncratic risk and expected returns in frontier markets : evidence from GCC

Bley, Jorg; Saad, Mohsen M. - In: Journal of international financial markets, … 22 (2012) 3, pp. 538-554

Persistent link: https://www.econbiz.de/10009623547

Can advanced markets help diversify risks in frontier stock markets? : evidence from Gulf Arab stock markets

Demirer, Rıza - In: Research in international business and finance 29 (2013), pp. 77-98

Persistent link: https://www.econbiz.de/10009759908

Idiosyncratic volatility forecasting in the stock market of Saudi Arabia

Bley, Jorg; Saad, Mohsen M. - In: Emerging markets finance & trade : a journal of the … 51 (2015) 6, pp. 1342-1357

Persistent link: https://www.econbiz.de/10011561300

Directional spillovers from the US and the Saudi market to equities in the Gulf Cooperation Council countries

Awartani, Basel; Maghyereh, Aktham I.; Al Shiab, Mohammad - In: Journal of international financial markets, … 27 (2013), pp. 224-242

Persistent link: https://www.econbiz.de/10010411742

Decomposing Fundamental and Non-Fundamental Volatility in GCC Stock Markets

Onour, Ibrahim - 2012

) economies, in this paper non-parametric co-integration and variance bound tests are employed to decompose volatility into … fundamental and non-fundamental components. Findings of the paper indicate that about 85% of volatility in GCC markets is due to … the non-fundamental volatility component. This result suggests that herd behavior may be a reason for excess price …

Persistent link: https://www.econbiz.de/10013098084

The Sensitivity of GCC Firms’ Stock Returns to Exchange Rate, Interest Rate, and Oil Price Volatility

Alenezi, Marim - 2020

volatility in the Gulf Cooperation Council (GCC) countries. It employs both the multivariate ordinary least square (OLS … suggest that the volatility of stock returns affected by changes in the risk factors could indicate non-prioritisation of risk …

Persistent link: https://www.econbiz.de/10012834658

Oil price and stock market behaviour in GCC countries : do asymmetries and structural breaks matter?

Fasanya, Ismail Olaleke; Oyewole, Oluwatomisin J.; … - In: Energy strategy reviews 36 (2021), pp. 1-11

Although the relationship between the global oil and stock markets has been given extensive critical assessment in the literature, this study gives a re-examination of this nexus for the Gulf Cooperation Council countries with certain innovative contributions. We employ both the Symmetric ARDL...

Persistent link: https://www.econbiz.de/10012704709

Modelling the dynamics of stock market in the Gulf Cooperation Council countries : evidence on persistence to shocks

Boubaker, Heni; Saidane, Bassem; Zorgati, Mouna Ben Saad - In: Financial innovation : FIN 8 (2022), pp. 1-22

This study examines the statistical properties required to model the dynamics of both the returns and volatility series … adequately estimate long-memory dynamics in returns and volatility. The in-sample diagnostic tests as well as out … conditional volatility and strongly support the estimation of dynamic returns that allow for time-varying correlations. A …

Persistent link: https://www.econbiz.de/10013272684