Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/303580 
Year of Publication: 
2022
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 10 [Issue:] 1 [Article No.:] 2031683 [Year:] 2022 [Pages:] 1-21
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
This research offers a comprehensive review of the volatility spillover patterns in the Gulf Cooperation Council (GCC) stock market indexes covering daily data from 2/1/2004 to 5/11/2020. During this period, stock markets experienced fluctuations due to unexpected shocks, such as the international financial crisis, oil price shocks and, lately, the pandemic of COVID-19. The findings reveal a substantial increase in the connectedness of returns and volatilities in the GCC bloc during high stress periods with the COVID-19 era marking a historical high. That said, the results do not support significant changes in the directional patterns of volatility during the pandemic.
Subjects: 
spillovers
correlation
international finance
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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