US energy policies and variance in the GCC stock markets

LAUR Repository

Show simple item record

dc.contributor.author Ben Sita, Bernard
dc.contributor.author Haidar, Ranim
dc.date.accessioned 2016-12-15T09:31:57Z
dc.date.available 2016-12-15T09:31:57Z
dc.date.copyright 2013 en_US
dc.date.issued 2016-12-15
dc.identifier.issn 1753-0229 en_US
dc.identifier.uri http://hdl.handle.net/10725/4950 en_US
dc.description.abstract We investigate the impact of bills about energy policy, introduced and discussed in the US Congress, on the conditional variance process of the five largest Gulf Cooperation Council (GCC) stock markets. Using an augmented asymmetric Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) model, we investigate the hypothesis that public news associated with US energy policy leads to the reversion of the conditional variance process. Our findings are consistent with the information hypothesis. GCC stock variance tends to revert on days when bills are introduced and discussed in the US Congress. en_US
dc.language.iso en en_US
dc.title US energy policies and variance in the GCC stock markets en_US
dc.type Article en_US
dc.description.version Published en_US
dc.author.school SOB en_US
dc.author.idnumber 200603722 en_US
dc.author.department Department of Finance and Accounting (FINA) en_US
dc.description.embargo N/A en_US
dc.relation.journal OPEC energy review en_US
dc.journal.volume 37 en_US
dc.journal.issue 1 en_US
dc.article.pages 53-62 en_US
dc.identifier.doi 10.1111/j.1753-0237.2012.00230.x en_US
dc.identifier.ctation Sita, B. B., & Haidar, R. (2013). US energy policies and variance in the GCC stock markets. OPEC Energy Review, 37(1), 53-62. en_US
dc.author.email bernard.bensita@lau.edu.lb en_US
dc.identifier.tou http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php en_US
dc.identifier.url http://onlinelibrary.wiley.com/doi/10.1111/j.1753-0237.2012.00230.x/full en_US
dc.author.affiliation Lebanese American University en_US

Files in this item

Files Size Format View

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record

Search LAUR

Advanced Search


My Account