Shock and volatility transmission in the oil, US and Gulf equity markets

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...