Characteristics of permanent and transitory returns in oil-sensitive emerging stock markets: The case of GCC countries |
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| Institution: | 1. Rawls College of Business, Texas Tech University, Lubbock, TX 79409-2101, United States;2. College of Business, Zayed University, P. O. Box 19282, Dubai, United Arab Emirates;1. College of Business and Economics, Qatar University, Doha, Qatar 2713;2. Lebow College of Busines, Drexel University, Philadelphia, PA 19104, United States;3. IPAG Lab, IPAG Business School, Paris, France;4. Department of Cognitive Sciences, Educational and Cultural Studies, University of Messina, Via Concezione 6, 98121 Messina, Italy;1. Energy and Sustainable Development (ESD), Montpellier Business School, Montpellier, France;2. Department of Finance and Accounting, University of Tunis El Manar, Tunis, Tunisia;3. Department of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University, Muscat, Oman;4. Lebow College of Business, Drexel University, Philadelphia, United States;5. Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST), Islamabad, Pakistan;1. College of Business Administration, Hunan University, Changsha, Hunan Province, China;2. School of Economics and Management, Fuzhou University, Fuzhou, Fujian Province, China;1. CRCGM, Université d''Auvergne, France;2. EDHEC Business School, France, 16 Rue du 4 Septembre, 75002 Paris, France;3. IPAG Business School, IPAG Lab, France |
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| Abstract: | The estimates suggest that for both return components there exists a statistically significant high volatility regime for all the Gulf Cooperation Council (GCC) stock markets and the oil market. On the other hand, the results for the low volatility state of both components are mixed. The individual GCC markets vary in terms of sensitivity to volatility and its duration; with Saudi Arabia and Oman having the highest overall return volatility. All the GCC markets are much less volatile than that of the more open, crisis-ridden, oil-exporting Mexico. All GCC returns move in the same direction, whether in terms of total return, fundamentals or fads under both volatility regimes. The correlations between themselves and with Mexico, the oil price and the Morgan Stanley Capital International Index (MSCI) returns are weak compared to the correlations among stock returns of Germany, Japan UK and the US Bhar, R., Hamori, S., 2004. Empirical characteristics of the permanent and transitory components of stock returns: analysis in a Markov-switching heteroscedasticity framework. Economics Letters 82, 157–165]. Mexico has considerably higher correlation with both MSCI and the oil price than all the GCC countries. |
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