US energy policies and variance in the GCC stock markets
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) m...
محفوظ في:
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| مؤلفون آخرون: | |
| التنسيق: | article |
| منشور في: |
2013
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| الوصول للمادة أونلاين: | http://hdl.handle.net/10725/4950 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php http://onlinelibrary.wiley.com/doi/10.1111/j.1753-0237.2012.00230.x/full |
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| _version_ | 1864513464942198784 |
|---|---|
| author | Ben Sita, Bernard |
| author2 | Haidar, Ranim |
| author2_role | author |
| author_facet | Ben Sita, Bernard Haidar, Ranim |
| author_role | author |
| dc.creator.none.fl_str_mv | Ben Sita, Bernard Haidar, Ranim |
| dc.date.none.fl_str_mv | 2013 2016-12-15T09:31:57Z 2016-12-15T09:31:57Z 2016-12-15 |
| dc.identifier.none.fl_str_mv | 1753-0229 http://hdl.handle.net/10725/4950 10.1111/j.1753-0237.2012.00230.x Sita, B. B., & Haidar, R. (2013). US energy policies and variance in the GCC stock markets. OPEC Energy Review, 37(1), 53-62. http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php http://onlinelibrary.wiley.com/doi/10.1111/j.1753-0237.2012.00230.x/full |
| dc.language.none.fl_str_mv | en |
| dc.relation.none.fl_str_mv | OPEC energy review |
| dc.rights.*.fl_str_mv | info:eu-repo/semantics/openAccess |
| dc.title.none.fl_str_mv | US energy policies and variance in the GCC stock markets |
| dc.type.none.fl_str_mv | Article info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | 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. |
| eu_rights_str_mv | openAccess |
| format | article |
| id | LAURepo_a4e2e1f9134a0412cbe4a87081e9b296 |
| identifier_str_mv | 1753-0229 10.1111/j.1753-0237.2012.00230.x Sita, B. B., & Haidar, R. (2013). US energy policies and variance in the GCC stock markets. OPEC Energy Review, 37(1), 53-62. |
| language_invalid_str_mv | en |
| network_acronym_str | LAURepo |
| network_name_str | Lebanese American University repository |
| oai_identifier_str | oai:laur.lau.edu.lb:10725/4950 |
| publishDate | 2013 |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | US energy policies and variance in the GCC stock marketsBen Sita, BernardHaidar, RanimWe 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.PublishedN/A2016-12-15T09:31:57Z2016-12-15T09:31:57Z20132016-12-15Articleinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article1753-0229http://hdl.handle.net/10725/495010.1111/j.1753-0237.2012.00230.xSita, B. B., & Haidar, R. (2013). US energy policies and variance in the GCC stock markets. OPEC Energy Review, 37(1), 53-62.http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.phphttp://onlinelibrary.wiley.com/doi/10.1111/j.1753-0237.2012.00230.x/fullenOPEC energy reviewinfo:eu-repo/semantics/openAccessoai:laur.lau.edu.lb:10725/49502021-03-19T09:10:12Z |
| spellingShingle | US energy policies and variance in the GCC stock markets Ben Sita, Bernard |
| status_str | publishedVersion |
| title | US energy policies and variance in the GCC stock markets |
| title_full | US energy policies and variance in the GCC stock markets |
| title_fullStr | US energy policies and variance in the GCC stock markets |
| title_full_unstemmed | US energy policies and variance in the GCC stock markets |
| title_short | US energy policies and variance in the GCC stock markets |
| title_sort | US energy policies and variance in the GCC stock markets |
| url | http://hdl.handle.net/10725/4950 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php http://onlinelibrary.wiley.com/doi/10.1111/j.1753-0237.2012.00230.x/full |