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Salem Adel Ziadat and David Gordon McMillan
''Oil innovations and Gulf Cooperation Council stock market connectedness''
( 2021, Vol. 41 No.4 )
This study aims to examine the impact of oil price innovations on the connectedness level of GCC stock markets. The analysis utilises the oil price decomposition of Ready (2018) and monthly data from February 2004 to December 2019. Obtained following the Diebold and Yilmaz (2009, 2012) method, the connectedness index of GCC markets reacts significantly to oil innovations. Notably, the results highlight the importance of using oil price decompositions as opposed to the oil return itself. Within this, oil price volatility has a positive impact on GCC connectedness, while oil supply shocks lead to a decrease. Evidence from a quantile regression framework indicates an asymmetric dependence structure for GCC connectedness across different shocks.
Keywords: GCC, Financial markets, co-movements, International Finance, Energy Finance, Spillovers, oil price shocks
JEL: F3 - International Finance: General
Q4 - Energy: General
Manuscript Received : Aug 03 2021 Manuscript Accepted : Dec 29 2021

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