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Global and Regional Spillovers to GCC Equity Markets
Author:
Tahsin Saadi Sedik
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Mr. Oral Williams null

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Series:
IMF Working Papers
Volume/Issue:
Volume 2011: Issue 138
Language:
English
Publication Date:
01 Jun 2011
DOI:
https://doi.org/10.5089/9781455265435.001
ISBN:
9781455265435
ISSN:
1018-5941
Pages:
26
Keywords:
WP; GCC equity markets; GCC; Stock markets; spillovers; contagion; financial integration; GCC market; GCC Index; GCC economy; country stock exchanges; country j equity market; response to a rise; Oil prices; Emerging and frontier financial markets; Market capitalization; Global
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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This paper analyzes the impact of global and regional spillovers to GCC equity markets. GCC equity markets were impacted by spillovers from U.S. equity markets despite varying degrees of foreign participation. Spillovers from regional equity markets were also important but the magnitude of the effects were on average smaller than that from mature markets. The results also illustrated episodes of contagion in particular during the recent global financial crisis. The findings suggest that given the degree of openness, and open capital accounts the financial channel is an important source through which volatility is transmitted. In this regard, GCC equity markets are not immune from global and regional financial shocks. These findings refute the notion of decoupling between the GCC equity and global equity markets.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund