Global and Regional Spillovers to GCC Equity Markets

Author/Editor: Tahsin Saadi Sedik ; Oral Williams
Publication Date: June 01, 2011
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
Summary: This paper analyzes the impact of global and regional spillovers to GCC equity markets. GCC equity markets were impacted by spillovers from U.S. equity markets despite varying degrees of foreign participation. Spillovers from regional equity markets were also important but the magnitude of the effects were on average smaller than that from mature markets. The results also illustrated episodes of contagion in particular during the recent global financial crisis. The findings suggest that given the degree of openness, and open capital accounts the financial channel is an important source through which volatility is transmitted. In this regard, GCC equity markets are not immune from global and regional financial shocks. These findings refute the notion of decoupling between the GCC equity and global equity markets.
Series: Working Paper No. 11/138
Frequency: Annually
Subject(s): Economic models | External shocks | Regional shocks | Spillovers | Stock markets

Author's Keyword(s): GCC | Stock markets | spillovers | contagion | financial integration
Publication Date: June 01, 2011
ISBN/ISSN: 9781455265435/1018-5941 Format: Paper
Stock No: WPIEA2011138 Pages: 26
US$18.00 (Academic Rate:
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