Global and Regional Spillovers to GCC Equity Markets

June 1, 2011

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Format: Chicago

Tahsin Saadi Sedik, and Oral Williams. Global and Regional Spillovers to GCC Equity Markets, (USA: International Monetary Fund, 2011) accessed December 22, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Emerging and frontier financial markets, Financial markets, Financial sector policy and analysis, Market capitalization, Oil prices, Prices, Spillovers, Stock markets

Keywords: Contagion, Country j equity market, Country stock exchanges, Emerging and frontier financial markets, Financial integration, GCC, GCC economy, GCC equity markets, GCC Index, GCC market, Global, Market capitalization, Oil prices, Response to a rise, Spillovers, Stock markets, WP

Publication Details

Pages:

26
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2011/138
Stock No:

WPIEA2011138
ISBN:

9781455265435
ISSN:

1018-5941

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