Revisiting volatility spillovers in the Gulf Cooperation Council

نویسندگان

چکیده

This research offers a comprehensive review of the volatility spillover patterns in Gulf Cooperation Council (GCC) stock market indexes covering daily data from 2/1/2004 to 5/11/2020. During this period, markets experienced fluctuations due unexpected shocks, such as international financial crisis, oil price shocks and, lately, pandemic COVID-19. The findings reveal substantial increase connectedness returns and volatilities GCC bloc during high stress periods with COVID-19 era marking historical high. That said, results do not support significant changes directional pandemic.

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ژورنال

عنوان ژورنال: Cogent economics & finance

سال: 2022

ISSN: ['2332-2039']

DOI: https://doi.org/10.1080/23322039.2022.2031683