Dynamic Linkages and Spillover Effects in the Gulf's Equity Markets

Download or read book Dynamic Linkages and Spillover Effects in the Gulf's Equity Markets written by Carol Joseph Ayat and published by . This book was released on 2006 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the volatile world of stock exchanges, the Gulf Cooperation Council (GCC) sta tes have become the latest "emerging markets". In the post- 9/11 environment, it is widely perceived that Gulf-based investors have switched their focus on a ma ssive scale from the West to the Middle East. In any case, there is no doubt tha t during the last few years, the stock markets in the Gulf States have grown eno rmously in terms of market capitalization and trading turnover. Given their rece nt extraordinary performance, and using daily data from January 1, 2004 to April 27, 2006, this project investigates the degree of integration of the Gulf's sto ck markets and their relationship to oil prices by means of time series economet ric techniques (Johansen cointegration test, Granger Causality, VECM and EGARCH) . Evidence for weak cointegration in the long-run is found. Price and volatility spillovers are found across markets some unidirectional and others bi-direction al. However, the lack of transparency, incomplete institutions, and continued re strictions barring foreign investment in the region, indicate that an integrated financial community remains premature.