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نيزار حسناوي فرح حراثي

Associate Professor

أستاذ مشارك

كلية إدارة الأعمال
مكتب S 172
المنشورات
مقال فى مجلة
2014

Revisiting the shock and volatility transmissions among GCC equities and oil price: A further investigation

Harrathi, Nizar . 2014

The paper explores the empirical evidence of the volatility interactions among the Gulf Cooperation Council (GCC) stock markets and world oil price over the weekly period spanning from June 24, 2005 to March 25, 2011. The study is conducted based on the BEKK-GARCH process developed by Kroner and Ng (1998) and outlining the asymmetry in the conditional variances of the stock and oil markets. The findings show evidence of shock and volatility linkages among GCC stock and oil markets, and reveal that the spillover effects are more apparent for volatility patterns. They also indicate that the stock and oil markets exhibit asymmetry in the conditional variances. From the perspective of portfolio strategies, the results display certain sensitivity to the GCC stock prices, allowing thus better understanding of the relationship between each stock market and oil price. Our findings are crucial for practitioners, policy makers and investors who seek to make earnings by diversifying their portfolios.

نوع عمل المنشور
paper
رقم المجلد
38
مجلة/صحيفة
Economic Modelling
الصفحات
486-494
مزيد من المنشورات
publications

This paper examines the causal relationship between renewable energy consumption, real GDP, trade and financial development for the GCC countries during the period 1980-2012. Compared to the…

بواسطة Mustapha Ben Hassine and Nizar Harrathi
2017
publications

This paper examines the impact of the market power on banks performance and efficiency in Islamic and Conventional banks in the GCC banking sector over the period 2010-2016. We investigate whether…

بواسطة Nizar Harrathi
2019
تم النشر فى:
American Research Institute for Policy Development
publications

We examine and test the validity of the expectation hypothesis of the term structure (EHTS) of interest rates in Saudi Arabia using the traditional single equation approach, Campbell and Shiller…

بواسطة Nizar Harrathi and Hamed M. Alhoshan
2020
تم النشر فى:
Review of Middle East Economics and Finance