Revisiting the shock and volatility transmissions among GCC stock and oil markets: A further investigation

Jouini, Jamel; Harrathi, Nizar

doi:10.1016/j.econmod.2014.02.001

Cited by 73 publications

(24 citation statements)

References 19 publications

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“…To sum up, our results point out that there is evidence of bidirectional causal links between GCC stock market and oil price. These findings are in line with Awartani and Maghyereh (2013) and Jouini and Harrathi (2014) who reveal evidence of shocks and volatility spillover effects between GCC stock market and oil price. Additionally, the obtained findings indicate that the structural breaks change the direction of the causal links among GCC stock market and oil price, the sign of shocks and volatility spillover effects and the magnitude of the estimated parameters.…”

Section: Shock and Volatility Spillover Effects Between Stock Market supporting

confidence: 91%

“…The results show evidence of bidirectional volatility spillover effect between stock sectors and oil price. More recently Jouini and Harrathi (2014) examine the volatility interactions between GCC stock market and oil price using asymmetric BEKK-GARCH model and weekly data from June 24, 2005 to March 25, 2011. They found that the volatility spillover effects run more from stock markets to oil price, than from oil to stock markets for shocks spillover effects.…”

Section: Introductionmentioning

confidence: 99%

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Interdependence between GCC stock market and oil prices and portfolio management strategies under structural breaks

Harrathi¹,

Almohaimeed²

2015

Afr. J. Bus. Manage.

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This paper empirically investigates the interdependence between GCC stock market and oil price by considering structural breaks in conditional volatility. The univariate and multivariate GARCH models are extended by including structural breaks which are determined endogenously by using ICSS algorithm proposed by Inclan and Tiao. Empirical results indicate that the inclusion of structural breaks in the model substantially reduces the volatility persistence and the estimated half-life of shocks. Hence, the conditional volatility of oil price and stock market are more affected by their own shocks and volatility when structural breaks are neglected. Likewise, our results are conclusive on conditional dependency between GCC stock market and oil price revealing that the volatility shifts reduce the shocks and volatility spillover effects. For the portfolio management, the empirical results show evidence of sensitivity of the optimal weight and hedge ratios to structural breaks in conditional volatility.

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Section: Shock and Volatility Spillover Effects Between Stock Market supporting

confidence: 91%

Section: Introductionmentioning

confidence: 99%

Interdependence between GCC stock market and oil prices and portfolio management strategies under structural breaks

Harrathi¹,

Almohaimeed²

2015

Afr. J. Bus. Manage.

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“…[1] among others), many studies have found a stable long-term relationship and substantial return and volatility linkages between oil prices and GCC stock indices (see Refs. [2,19,24,29]; among others). However, the literature has remained generally silent on return and volatility linkages between oil prices and the stock markets of purely oil-importing MENA countries.…”

Section: Reviewmentioning

confidence: 97%

“…As indicated earlier, understanding the volatility transmission between global oil prices and stock markets is crucial for portfolio managers and policy-makers who are concerned with risk management. In this regard, a limited number of studies on both return and volatility linkages have focused on either developed or developing oil-exporting countries [2,19,26], ignoring the case of purely oil-importing countries in the Middle East region. Only two papers have considered the case of oil-importing stock markets [13,39].…”

Section: Introductionmentioning

confidence: 99%

Return and volatility linkages between oil prices and the Lebanese stock market in crisis periods

Bouri

2015

Energy

116

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“…For instance, Allegret et al (2014) focused on current account position. Awartani and Maghyereh (2013), Jouini and Harrathi (2014) and Salisu and Isah (2016) analyses were centred on stock price-oil price shock. Raheem (2017) limited his analysis to oil price and trade nexus.…”

Section: Literature Reviewmentioning

confidence: 99%

What is new? The role of asymmetry and breaks in oil price–output growth volatility nexus

Raheem

Olabisi

2018

OPEC Energy Review

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This study examines the role of asymmetry and breaks in oil price–output growth volatility nexus. A representative of 10 countries was selected from net oil‐exporting and‐importing economies for the period 1986–2017. It is hypothesised that countries respond differently to changes in oil price. To prove this point, we use the recent nonlinear ARDL of Shin et al. (), based on the framework of the dynamic common correlated effect of the heterogeneous panel of Chudik and Pesaran (), to decompose oil price into positive and negative partial sums. Our results show that without accounting for breaks, asymmetry only matters for net oil exporters in both short‐ and long run. However, accounting for breaks expanded the importance of asymmetry to net oil importers (in the short run). These results are robust to changes in the measures of oil price and growth volatility.

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Revisiting the shock and volatility transmissions among GCC stock and oil markets: A further investigation

Cited by 73 publications

References 19 publications

Interdependence between GCC stock market and oil prices and portfolio management strategies under structural breaks

Interdependence between GCC stock market and oil prices and portfolio management strategies under structural breaks

Return and volatility linkages between oil prices and the Lebanese stock market in crisis periods

What is new? The role of asymmetry and breaks in oil price–output growth volatility nexus

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