Revisiting volatility spillovers in the Gulf Cooperation Council

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.

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This open access article is distributed under a Creative Commons Attribution (CC-BY) 4.0 license (https://creativecommons.org/licenses/by/4.0/) .

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Identifiers

DOI

https://doi.org/10.1080/23322039.2022.2031683

Repository URI

http://hdl.handle.net/1893/34007