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

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      Embargo Lift Date: 2021-09-01
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      Author
      Al-Yahyaee, K.
      Mensi, W.
      Şensoy, Ahmet
      Kang, S.
      Date
      2019
      Source Title
      Pacific Basin Finance Journal
      Print ISSN
      0927-538X
      Publisher
      Elsevier
      Volume
      56
      Pages
      45 - 70
      Language
      English
      Type
      Article
      Item Usage Stats
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      Abstract
      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.
      Keywords
      Commodity futures
      GCC stock markets
      Spillover index
      Hedging
      Risk management
      Permalink
      http://hdl.handle.net/11693/53164
      Published Version (Please cite this version)
      https://dx.doi.org/10.1016/j.pacfin.2019.05.006
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