Global and Regional Spillovers to GCC Equity Markets

27 Pages Posted: 29 Jun 2011

See all articles by Oral H. Williams

Oral H. Williams

International Monetary Fund (IMF)

Tahsin Saadi-Sedik

International Monetary Fund (IMF)

Multiple version iconThere are 2 versions of this paper

Date Written: June 2, 2011

Abstract

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.

Keywords: GCC, stock markets, spillovers, contagion, financial integration

JEL Classification: F15, F36, E44

Suggested Citation

Williams, Oral H. and Saadi-Sedik, Tahsin, Global and Regional Spillovers to GCC Equity Markets (June 2, 2011). Available at SSRN: https://ssrn.com/abstract=1874331 or http://dx.doi.org/10.2139/ssrn.1874331

Oral H. Williams (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

Tahsin Saadi-Sedik

International Monetary Fund (IMF) ( email )

700 19th Street N.W.
Washington, DC 20431
United States

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