Information transmission between the Gulf equity markets of Saudi Arabia and Bahrain

被引:15
作者
Abraham, Abraham [1 ]
Seyyed, Fazal J. [1 ]
机构
[1] King Fahd Univ Petr & Minerals, Coll Ind Management, Dept Finance & Econ, POB 479, Dhahran 31261, Saudi Arabia
关键词
Volatility spillover; Information transmission; Bivariate EGARCH;
D O I
10.1016/j.ribaf.2005.05.007
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
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. (C) 2005 Elsevier B.V. All rights reserved.
引用
收藏
页码:276 / 285
页数:10
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