Return and volatility spillover between cryptocurrencies, oil price and stock market in GCC countries
This study examines the news impact, persistence and asymmetric effects of stock, oil and cryptocurrency markets in Gulf Cooperation Council (GCC) countries. The diagonal BEKK method is applied to the daily trading prices of three major cryptocurrencies, crude oil and four stock market indices from...
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2025-12-01
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| Series: | Cogent Economics & Finance |
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| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2025.2453584 |
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| _version_ | 1825208901573804032 |
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| author | Hanan Haider Ali Sumathi Kumaraswamy Sara Al Balooshi Yomna Abdulla |
| author_facet | Hanan Haider Ali Sumathi Kumaraswamy Sara Al Balooshi Yomna Abdulla |
| author_sort | Hanan Haider Ali |
| collection | DOAJ |
| description | This study examines the news impact, persistence and asymmetric effects of stock, oil and cryptocurrency markets in Gulf Cooperation Council (GCC) countries. The diagonal BEKK method is applied to the daily trading prices of three major cryptocurrencies, crude oil and four stock market indices from January 2018 to February 2024. The empirical results indicate a strong, significant volatility spillover between cryptocurrencies, oil and stock prices, but no return spillover effect among these asset classes. A negative news shock in cryptocurrency markets generates more volatility in GCC stock prices than positive news. The study suggests that cryptocurrency price movements are independent of other asset classes, providing portfolio diversification opportunities for investors in GCC countries. |
| format | Article |
| id | doaj-art-e96c3772320d47c2812ae2f60e02fa6b |
| institution | Kabale University |
| issn | 2332-2039 |
| language | English |
| publishDate | 2025-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj-art-e96c3772320d47c2812ae2f60e02fa6b2025-02-06T17:32:02ZengTaylor & Francis GroupCogent Economics & Finance2332-20392025-12-0113110.1080/23322039.2025.2453584Return and volatility spillover between cryptocurrencies, oil price and stock market in GCC countriesHanan Haider Ali0Sumathi Kumaraswamy1Sara Al Balooshi2Yomna Abdulla3Financial Economics, Nuwah Foundation, Areen, BahrainDepartment of Economics and Finance, College of Business administration, University of Bahrain, Zallaq, BahrainDepartment of Economics and Finance, College of Business administration, University of Bahrain, Zallaq, BahrainDepartment of Economics and Finance, College of Business administration, University of Bahrain, Zallaq, BahrainThis study examines the news impact, persistence and asymmetric effects of stock, oil and cryptocurrency markets in Gulf Cooperation Council (GCC) countries. The diagonal BEKK method is applied to the daily trading prices of three major cryptocurrencies, crude oil and four stock market indices from January 2018 to February 2024. The empirical results indicate a strong, significant volatility spillover between cryptocurrencies, oil and stock prices, but no return spillover effect among these asset classes. A negative news shock in cryptocurrency markets generates more volatility in GCC stock prices than positive news. The study suggests that cryptocurrency price movements are independent of other asset classes, providing portfolio diversification opportunities for investors in GCC countries.https://www.tandfonline.com/doi/10.1080/23322039.2025.2453584CryptocurrenciesBitcoinoil pricesstock marketsFinanceEconomics |
| spellingShingle | Hanan Haider Ali Sumathi Kumaraswamy Sara Al Balooshi Yomna Abdulla Return and volatility spillover between cryptocurrencies, oil price and stock market in GCC countries Cogent Economics & Finance Cryptocurrencies Bitcoin oil prices stock markets Finance Economics |
| title | Return and volatility spillover between cryptocurrencies, oil price and stock market in GCC countries |
| title_full | Return and volatility spillover between cryptocurrencies, oil price and stock market in GCC countries |
| title_fullStr | Return and volatility spillover between cryptocurrencies, oil price and stock market in GCC countries |
| title_full_unstemmed | Return and volatility spillover between cryptocurrencies, oil price and stock market in GCC countries |
| title_short | Return and volatility spillover between cryptocurrencies, oil price and stock market in GCC countries |
| title_sort | return and volatility spillover between cryptocurrencies oil price and stock market in gcc countries |
| topic | Cryptocurrencies Bitcoin oil prices stock markets Finance Economics |
| url | https://www.tandfonline.com/doi/10.1080/23322039.2025.2453584 |
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