TY - JOUR
T1 - Energy, precious metals, and GCC stock markets
T2 - Is there any risk spillover?
AU - Al-Yahyaee, Khamis Hamed
AU - Mensi, Walid
AU - Sensoy, Ahmet
AU - Kang, Sang Hoon
N1 - Funding Information:
The second author (Walid Mensi) acknowleges the financial support from deanship of research in Sultan Qaboos University (IG/EPS/ECOF/19/01). The last author (Sang Hoon Kang) acknowledges receiving financial support from the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea ( NRF-2017S1A5B8057488 ).
Funding Information:
The second author (Walid Mensi) acknowleges the financial support from deanship of research in Sultan Qaboos University (IG/EPS/ECOF/19/01). The last author (Sang Hoon Kang) acknowledges receiving financial support from the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF-2017S1A5B8057488).
Publisher Copyright:
© 2019 Elsevier B.V.
PY - 2019/9
Y1 - 2019/9
N2 - We analyze dynamic return and risk spillovers between commodity futures (energy & precious metals) and the Gulf Cooperation Council (GCC) stock markets. Utilizing dynamic equicorrelation (DECO) models and the spillover index of Diebold and Yilmaz (2012), we show the existence of significant return and risk spillovers between the commodities and the GCC stock markets, particularly during the onset of the 2008–2009 global financial crisis. In addition, silver, platinum, and energy futures markets are net transmitter of returns to stock markets. Precious metals (except silver) and WTI oil are net transmitter of risk to GCC markets. Abdu Dhabi and Dubai are net transmitter of returns and risk to other markets. Moreover, portfolio management analysis shows that the mix of commodities and GCC equities provides diversification opportunities for different crisis periods. Finally, precious metal markets offer superior hedging effectiveness over energy markets for all GCC markets.
AB - We analyze dynamic return and risk spillovers between commodity futures (energy & precious metals) and the Gulf Cooperation Council (GCC) stock markets. Utilizing dynamic equicorrelation (DECO) models and the spillover index of Diebold and Yilmaz (2012), we show the existence of significant return and risk spillovers between the commodities and the GCC stock markets, particularly during the onset of the 2008–2009 global financial crisis. In addition, silver, platinum, and energy futures markets are net transmitter of returns to stock markets. Precious metals (except silver) and WTI oil are net transmitter of risk to GCC markets. Abdu Dhabi and Dubai are net transmitter of returns and risk to other markets. Moreover, portfolio management analysis shows that the mix of commodities and GCC equities provides diversification opportunities for different crisis periods. Finally, precious metal markets offer superior hedging effectiveness over energy markets for all GCC markets.
KW - Commodity futures
KW - GCC stock markets
KW - Hedging
KW - Risk management
KW - Spillover index
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U2 - 10.1016/j.pacfin.2019.05.006
DO - 10.1016/j.pacfin.2019.05.006
M3 - Article
AN - SCOPUS:85066234301
SN - 0927-538X
VL - 56
SP - 45
EP - 70
JO - Pacific Basin Finance Journal
JF - Pacific Basin Finance Journal
ER -