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dc.contributor.authorAl-Yahyaee, K.en_US
dc.contributor.authorMensi, W.en_US
dc.contributor.authorŞensoy, Ahmeten_US
dc.contributor.authorKang, S.en_US
dc.date.accessioned2020-02-07T10:58:57Z
dc.date.available2020-02-07T10:58:57Z
dc.date.issued2019
dc.identifier.issn0927-538X
dc.identifier.urihttp://hdl.handle.net/11693/53164
dc.description.abstractWe 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.en_US
dc.language.isoEnglishen_US
dc.source.titlePacific Basin Finance Journalen_US
dc.relation.isversionofhttps://dx.doi.org/10.1016/j.pacfin.2019.05.006en_US
dc.subjectCommodity futuresen_US
dc.subjectGCC stock marketsen_US
dc.subjectSpillover indexen_US
dc.subjectHedgingen_US
dc.subjectRisk managementen_US
dc.titleEnergy, precious metals, and GCC stock markets: Is there any risk spillover?en_US
dc.typeArticleen_US
dc.departmentDepartment of Managementen_US
dc.citation.spage45en_US
dc.citation.epage70en_US
dc.citation.volumeNumber56en_US
dc.identifier.doi10.1016/j.pacfin.2019.05.006en_US
dc.publisherElsevieren_US
dc.contributor.bilkentauthorŞensoy, Ahmet
dc.embargo.release2021-09-01


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