Energy, precious metals, and GCC stock markets: Is there any risk spillover?

The aim of this research proposal is to analyze risk spillovers using one of the broadest asset sets in the literature that includes gold, silver, platinum, and palladium as precious metals; crude oil, gasoline, and heating oil as energy commodities; and the stock markets of Saudi Arabia, the UAE (Dubai and Abu Dhabi), Bahrain, Kuwait, Oman, and Qatar as equities. Further, we will consider the Dynamic Conditional Correlation (DCC) and the Dynamic Equicorrelation (DECO)-Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) models to assess the time-varying correlations for three blocks (precious metal-stock, energy-stock and precious metal-energy-stock). Finally, we determine the optimal portfolio weighting scheme, hedge ratios, and hedging performance (effectiveness) for the precious metals, energy commodities, and GCC stock portfolios to provide useful commentary to investors in asset and risk management. This proposal research provides a new evidence to the investors, portfolio managers and policy makers exploiting in the GCC markets.