شوک و نوسانات انتقال در نفت، بازارهای سهام آمریکا و خلیج

This paper examines the volatility and shock transmission mechanism among US equity, global crude oil market, and equity markets of Saudi Arabia, Kuwait, and Bahrain. Our results show significant transmission among second moments. In all cases, Gulf equity markets receive volatility from the oil market but only in the case of Saudi Arabia we found a significant volatility spillover from the Saudi market to the oil market. Our results are important for building accurate asset pricing models, forecasting future equity and oil price return volatility, and will further our understanding of the interaction of the stock markets of Gulf countries vis-à-vis the US equity market and the global oil market.

The ever-increasing integration of major financial markets throughout the world has generated interest in examining whether or not conditional (or predictable) volatility is transmitted across major markets. Much attention has been focused on modeling the equity volatility and studying the volatility transmission mechanism that exists among major international financial markets and their spillover effects on regional emerging markets such as those in the East Asia and the Pacific Rim. Notable papers that have studied the transmission of volatility across markets include those by Hamao, Masulis, and Ng (1990), King and Wadhwani (1990), Lin, Engle, and Ito (1994), Engle and Susmel (1993), and Karolyi (1995). However, no serious work has been devoted to the simultaneous volatility transmission between the US stock market, oil markets and stock markets of the major oil-exporting countries. The US consumes 25% of world oil production and the six oil-exporting countries, making up the oil-rich Gulf Cooperation Council (GCC), produce 16% of the world output and possess 47% of the world's oil reserves. These GCC countries include Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and United Arab Emirates; four of which (excluding Bahrain and Oman) are important decision makers in the Organization of Petroleum Exporting Countries (OPEC). Additionally, these countries have rapidly growing stock markets and some markets have doubled investors' money from 2001 to 2003. Fig. 1 attests to their performance in 2002 at a time when the world's major markets experienced precipitous fall.

This paper has examined the transmission of volatility and shocks among the markets of oil, US equity and each of the three oil-rich Gulf countries, using daily data from 14 February 1994 to 25 December 2001. The Gulf countries used for analysis are Bahrain, Kuwait and Saudi Arabia, where the last two countries are major oil exporters within OPEC. Bahrain is just a marginal oil producer that moves in the economic and political satellite of Saudi Arabia. Generally speaking, our results show significant interaction between second moments of the US equity and global oil markets. Not surprisingly, in all cases the three Gulf equity markets receive volatility from the oil market. Interestingly, only in the case of Saudi Arabia we found a significant volatility spillover from the Saudi equity market to the global oil market, underlining the major role that Saudi market plays in the global oil market. Moreover, news or shocks in the US equity market indirectly affects volatility in the three Gulf equity markets, underscoring the link between investments made by the Gulf investors in the US and each of the Gulf stock markets. This finding points to the presence of cross-market hedging and sharing of common information by investors in these markets. The presence of cross-market hedging and investment switching between domestic and US markets may create a subsequent boom-bust cycles with a whiplash effect. Volatility and shock transmission among markets also has practical implications for portfolio managers seeking to make optimal portfolio allocations. The analysis of volatility transmission between the oil-exporting countries indirectly implies that shocks can spillover from one country to another because these countries process common oil related information. Also, developments in the Saudi market have much more significant indirect repercussions on other GCC markets (through the oil market) than developments in the markets of Kuwait and Bahrain. The general policy implication for oil volatility transmission is that the GCC markets should introduce financial derivatives like index options that can provide a hedge against index return volatilities. Therefore, at times of heightened volatility in the oil market, investors in the GCC markets can use these derivatives to reduce their risk or increase gains. Our results are important for building accurate asset pricing models, forecasting future equity and oil price return volatility, and will further our understanding of the interaction of the stock markets of Gulf countries vis-à-vis the US equity market and the global oil market.