TY - JOUR
T1 - The financial interconnectedness between global equity markets and crude oil
T2 - evidence from the GCC
AU - Yousuf, Moosa
AU - Zhai, Jia
N1 - Funding Information:
I would like to acknowledge the support and encouragement of Dr Jia Zhai and Dr Tony Syme; my research supervisors at the University of Salford. Their feedback and guidelines have helped me reach this stage of publication. Next, I would like to thank my instructors and mentors at the University of Nottingham and the American University of Sharjah for all their support, recommendations and encouragement to start doctoral research in my field.
Publisher Copyright:
© 2021 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group.
PY - 2022/4/3
Y1 - 2022/4/3
N2 - This paper investigates the interconnectedness between the GCC region, crude oil prices, and global equity markets of the US, Europe, and China. We use DCC-GARCH models and the Diebold and Yilmaz (2012) approach to examine the dynamic connectedness and the net directional flow of spillovers. Consistent with previous studies, we find that the US and European markets are net global contributors of return and volatility shocks, whilst the Chinese equity markets are gradually becoming influential. Meanwhile, the GCC equity markets have been anet recipient of shocks from oil prices. Our empirical results provide some important insights. Firstly, the net transmission of shocks from oil prices to the GCC markets has been reducing over time. Secondly, the total connectedness nearly doubled in response to the global pandemic. Thirdly, the Chinese stock markets are gradually transforming into net transmitters of spillovers to other global equity markets.
AB - This paper investigates the interconnectedness between the GCC region, crude oil prices, and global equity markets of the US, Europe, and China. We use DCC-GARCH models and the Diebold and Yilmaz (2012) approach to examine the dynamic connectedness and the net directional flow of spillovers. Consistent with previous studies, we find that the US and European markets are net global contributors of return and volatility shocks, whilst the Chinese equity markets are gradually becoming influential. Meanwhile, the GCC equity markets have been anet recipient of shocks from oil prices. Our empirical results provide some important insights. Firstly, the net transmission of shocks from oil prices to the GCC markets has been reducing over time. Secondly, the total connectedness nearly doubled in response to the global pandemic. Thirdly, the Chinese stock markets are gradually transforming into net transmitters of spillovers to other global equity markets.
KW - Financial markets
KW - GCC
KW - connectedness
KW - crude oil
KW - financial integration
KW - spillovers
UR - http://www.scopus.com/inward/record.url?scp=85118359925&partnerID=8YFLogxK
U2 - 10.1080/14765284.2021.1989884
DO - 10.1080/14765284.2021.1989884
M3 - Article
AN - SCOPUS:85118359925
SN - 1476-5284
VL - 20
SP - 183
EP - 206
JO - Journal of Chinese Economic and Business Studies
JF - Journal of Chinese Economic and Business Studies
IS - 2
ER -