This paper employs extreme downside risk measures to estimate the impact of the global financial crisis in 2008/2009 on equity markets in major oil producing Middle East countries. The results in the paper indicate the spillover effect of the global crisis varied from a country to another, but...

Given the change in oil price reflects change in observable economic fundamentals of Gulf Co-operation Council (GCC) economies, in this paper non-parametric co-integration and variance bound tests are employed to decompose volatility into fundamental and non-fundamental components. Findings of...

This paper employs a combination of unit root tests and fractional integration technique to test for rational bubbles in Bombay Stock Exchange (BSE). The results in the paper strongly support evidence of rational bubbles in BSE. Evidence of rational bubbles in BSE reflect consistent divergence...

Given that changes in oil prices influence the observable factors in GCC economies, this paper shows unobservable speculative factors that drive short-term stock market returns in Saudi and Bahrain markets.1 For other GCC markets, such as Dubai, Abu-Dhabi, and Muscat, oil price uncertainty and...