کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1002348 1481806 2006 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Information transmission between the Gulf equity markets of Saudi Arabia and Bahrain
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
Information transmission between the Gulf equity markets of Saudi Arabia and Bahrain
چکیده انگلیسی

This paper examines whether the emerging Gulf markets of Saudi Arabia and Bahrain in conjunction with the US market exhibit cointegrating relationship. Additionally, the transmission of information and volatility spillover between the Gulf markets is explored using a bivariate EGARCH model. We find that although the markets are not cointegrated, the Gulf markets do share information flows. Specifically, we observe an asymmetric spillover of volatility from the smaller though more liberal and accessible Bahraini market to the larger and less accessible Saudi market. The observed difference in information processing may partly be due to a well-developed Bahraini financial sector that encourages wider participation by international investors who play a significant role in assimilating new information.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 20, Issue 3, September 2006, Pages 276–285
نویسندگان
, ,