@article{Ziadat_S-2022_79404,
title = {Revisiting volatility spillovers in the Gulf Cooperation Council},
author = {Ziadat, S. and AlKhouri, R.},
month = {feb},
year = {2022},
abstract = {This research offers a comprehensive review of the volatility spillover patterns in the Gulf Cooperation Council (GCC) stock market indexes covering daily data from 2/1/2004 to 5/11/2020. During this period, stock markets experienced fluctuations due to unexpected shocks, such as the international financial crisis, oil price shocks and, lately, the pandemic of COVID-19. The findings reveal a substantial increase in the connectedness of returns and volatilities in the GCC bloc during high stress periods with the COVID-19 era marking a historical high. That said, the results do not support significant changes in the directional patterns of volatility during the pandemic.},
volume = {10},
issue = {1},
journal = {Cogent Economics and Finance},
publisher = {Taylor and Francis},
url = {https://doi.org/10.1080/23322039.2022.2031683},
}
