TY - JOUR
AU - Ziadat, Salem
AU - AlKhouri, Ritab
PY - 2022
DA - February
TI - Revisiting volatility spillovers in the Gulf Cooperation Council
JO - Cogent Economics and Finance
VL - 10
IS - 1
DO - https://doi.org/10.1080/23322039.2022.2031683
AB - 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.
PB - Taylor and Francis
UR - http://hdl.handle.net/1893/34007
KW - Coronavirus (COVID-19)
ER