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DC Field | Value | Language |
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dc.contributor.author | Kyriacou, K | - |
dc.contributor.author | Arin, KP | - |
dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Spagnolo, N | - |
dc.date.accessioned | 2019-03-25T14:20:17Z | - |
dc.date.available | 2019-03-25T14:20:17Z | - |
dc.date.issued | 2019-11-26 | - |
dc.identifier.citation | Kyriacou, K., Arin, K.P., Caporale, G.M. and Spagnolo, N. (2020) 'Financial Integration in the GCC region: Market Size versus National Effects', Open Economies Review, 31, pp. 309 - 316. doi: 10.1007/s11079-019-09554-6. | en_US |
dc.identifier.issn | 0923-7992 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/17776 | - |
dc.description.abstract | © The Author(s) 2019. This paper examines financial spillovers between the four largest equity markets (by market capitalization) in the GCC region using a VAR-GARCH (1,1) framework that sheds light on interdependence as well as the effects of the 2014 oil crisis. Since the UAE is a federation including two stock exchanges (Abu Dhabi and Dubai), it is pos- sible to test whether being part of a federal union matters more than market size in terms of financial integration. Our results suggest that the latter is more important, since we could not find evidence of stronger linkages between the Abu Dhabi and Dubai markets compared to those between other markets in the region. By contrast, there are significant spillover effects, both in the mean and in the volatility, from the largest market of Saudi Arabia to Qatar and the two markets in the UAE, which confirms that market capitalization is a more important determinant of financial inte- gration than belonging to a federal union. Further, spillovers from the larger markets have become stronger as a result of the 2014 oil crisis. Finally, there is also evidence of spillovers from the smaller to the larger markets. | - |
dc.description.sponsorship | Zayed University, RIF grant R16045. | - |
dc.format.extent | 309 - 316 | - |
dc.format.medium | Print-Electronic | - |
dc.language.iso | en | en_US |
dc.publisher | Springer | en_US |
dc.rights | © The Author(s) 2019. OpenAccess This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (https://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made. | - |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | - |
dc.subject | stock Markets | en_US |
dc.subject | GCC | en_US |
dc.subject | volatility transmission | en_US |
dc.title | Financial Integration in the GCC region: Market Size versus National Effects | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1007/s11079-019-09554-6 | - |
dc.relation.isPartOf | Open Economies Review | - |
pubs.publication-status | Published | - |
pubs.volume | 31 | - |
dc.identifier.eissn | 1573-708X | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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