Modelling Volatility Spillover in GCC Stock Markets Using Structural Time Series Analysis

• 발행기관: 한국회계정보학회
• 저자명: Talla Al-Deehani
• 간행물 정보: 『Journal of Accounting and Finance』Vol.4, 35~44쪽, 전체 10쪽
• 주제분류: 경제경영 > 회계학
• 파일형태: PDF
• 발행일자: 2005.12.30

영문 초록

This paper investigates volatility spillover among the stock markets of the six member countries of the Gulf Cooperation Council (GCC) by applying the concept of stochastic volatility and structural time series modelling. The results provide strong evidence for bidirectional and unidirectional contemporaneous volatility spillover but reveal weak evidence for lagged volatility spillover. Volatility in the Qatar stock market does not seem to affect or be affected by volatility of any of the other five markets. Moreover, volatility in one market cannot be explained totally by volatility in the other five markets.

목차

Introduction

Methodology

Data, results and analysis

Conclusions

References