The Volatility of Market Returns: A Comparative Study of Gcc Markets, Oil, Uk & Usa

Abstract

This paper will examine the volatility of markets returns, dynamic conditional covariance and dynamic conditional correlation between the equity markets of developed countries (US and UK), the equity markets of developing countries in the Gulf Cooperation Council (GCC) - Kuwait, Oman, Qatar, Bahrain and United Arab Emirates - and the international prices of oil - Europe Brent Spot Price. A multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model will be used to identify the source and magnitude of volatility. The results will show the relation between the global mature market of (USA and the UK) and International oil prices on the emerging markets of the GCC countries.