Unlike previous studies, this paper examines volatility transmission patterns for pairs of six stock markets of countries of the Gulf Cooperation Council (GCC) and pairs of these markets with the three global markets (S&P 500 index, Oil-WTI prices and MSCI-world), using the Multi-Chain Markov...

Unlike previous studies, this paper uses the Multi-Chain Markov Switching model (MCMS) to examine portfolio management strategies based on volatility transmission between six domestic stock markets of Gulf Arab states (GCC) and global markets (i.e., the U.S. S&P 500 index and oil prices) and...

This paper examines the dynamic relationship between global factors and herding behavior in the oil-rich frontier stock markets of the Gulf Cooperation Council (GCC), using a time-varying transition probability Markov Switching model (TVTP-MS). Our results suggest that the GCC frontier stock...

Employing a time-varying volatility transmission model, this study examines the impact of asymmetric information and uncertainty on the interactions across energy and foreign exchange markets. The results show that the ARCH coefficients monitoring the impact for the "own" shocks (currency on...

The main goal of this paper is to examine whether oil price risk is systematically priced in the cross-section of stock returns in net oil-exporting countries even after controlling for market and firm-level risk factors. Using firm-level data from the Gulf Arab stock markets, we find that...

This research is an inter-temporal update of an empirical paper published by Essayyad et al., which is based on work of Loretan and Nardo et al. We continue to employ the same principal component technique, to construct an alternative US Dollar Index to gauge movements in currency markets. The...

This study is the first attempt to investigate both the linear and non-linear Granger causality between wavelet transformed spot and futures oil prices. Our findings consistently indicate bidirectional causality between the spot and futures oil markets at different time scales, under linear and...