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Global pandemic crisis and risk contagion in GCC stock markets

This study investigates how the COVID-19 outbreak has shaped the volatility spillover between oil and Gulf Cooperation Council (GCC) stock markets. Contagion analysis is conducted by implementing a vector error correction (VECM) asymmetric BEKK model, wherein both cointegration and asymmetric featur...

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Detalles Bibliográficos
Autores principales: Ben Cheikh, Nidhaleddine, Ben Zaied, Younes, Saidi, Sana, Sellami, Mohamed
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2022
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9458538/
https://www.ncbi.nlm.nih.gov/pubmed/36101740
http://dx.doi.org/10.1016/j.jebo.2022.08.036
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author Ben Cheikh, Nidhaleddine
Ben Zaied, Younes
Saidi, Sana
Sellami, Mohamed
author_facet Ben Cheikh, Nidhaleddine
Ben Zaied, Younes
Saidi, Sana
Sellami, Mohamed
author_sort Ben Cheikh, Nidhaleddine
collection PubMed
description This study investigates how the COVID-19 outbreak has shaped the volatility spillover between oil and Gulf Cooperation Council (GCC) stock markets. Contagion analysis is conducted by implementing a vector error correction (VECM) asymmetric BEKK model, wherein both cointegration and asymmetric features are considered. Financial market uncertainty caused by the recent health crisis is captured using Baker et al.’s (2020) newly developed infectious disease tracker. Our results indicate a significant discrepancy in the GCC group, as shock and volatility linkages between oil and equities are more apparent for some countries but not for others. The estimated VECM-asymmetric BEKK model reveals cross-market asymmetric spillover effects only in Kuwait, Qatar, and Saudi Arabia. We report that the global pandemic has strongly affected crude oil market volatility, while the GCC region seems to be less affected by the emergence of the new infectious disease. Our findings underscore the diversification opportunities offered by Gulf equity markets to international investors.
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spelling pubmed-94585382022-09-09 Global pandemic crisis and risk contagion in GCC stock markets Ben Cheikh, Nidhaleddine Ben Zaied, Younes Saidi, Sana Sellami, Mohamed J Econ Behav Organ Article This study investigates how the COVID-19 outbreak has shaped the volatility spillover between oil and Gulf Cooperation Council (GCC) stock markets. Contagion analysis is conducted by implementing a vector error correction (VECM) asymmetric BEKK model, wherein both cointegration and asymmetric features are considered. Financial market uncertainty caused by the recent health crisis is captured using Baker et al.’s (2020) newly developed infectious disease tracker. Our results indicate a significant discrepancy in the GCC group, as shock and volatility linkages between oil and equities are more apparent for some countries but not for others. The estimated VECM-asymmetric BEKK model reveals cross-market asymmetric spillover effects only in Kuwait, Qatar, and Saudi Arabia. We report that the global pandemic has strongly affected crude oil market volatility, while the GCC region seems to be less affected by the emergence of the new infectious disease. Our findings underscore the diversification opportunities offered by Gulf equity markets to international investors. Elsevier B.V. 2022-10 2022-09-08 /pmc/articles/PMC9458538/ /pubmed/36101740 http://dx.doi.org/10.1016/j.jebo.2022.08.036 Text en © 2022 Elsevier B.V. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Ben Cheikh, Nidhaleddine
Ben Zaied, Younes
Saidi, Sana
Sellami, Mohamed
Global pandemic crisis and risk contagion in GCC stock markets
title Global pandemic crisis and risk contagion in GCC stock markets
title_full Global pandemic crisis and risk contagion in GCC stock markets
title_fullStr Global pandemic crisis and risk contagion in GCC stock markets
title_full_unstemmed Global pandemic crisis and risk contagion in GCC stock markets
title_short Global pandemic crisis and risk contagion in GCC stock markets
title_sort global pandemic crisis and risk contagion in gcc stock markets
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9458538/
https://www.ncbi.nlm.nih.gov/pubmed/36101740
http://dx.doi.org/10.1016/j.jebo.2022.08.036
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