Jia Zhai’s research while affiliated with Xi’an Jiaotong-Liverpool University and other places

What is this page?

This page lists works of an author who doesn't have a ResearchGate profile or hasn't added the works to their profile yet. It is automatically generated from public (personal) data to further our legitimate goal of comprehensive and accurate scientific recordkeeping. If you are this author and want this page removed, please let us know.

Publications (1)

Figure 2. GCC's oil production in barrels per day amongst OPEC members. The Gulf Cooperation Council (GCC) countries represent more than half of all the entire oil production of OPEC countries, with the Kingdom of Saudi Arabia (KSA) being the largest producer and exporter of oil (OPEC).
Figure 3. Major crises events along the GCC regional equity index. Major global and regional crises events have impacted the GCC equity market index over the 2005-2020 period. The above diagram is indexed to 100 at the start of the data series, on 31 May 2005.
Figure 4. Indexed series for oil prices and the US, Europe, China and GCC equity markets. The MSCI GCC regional index is plotted alongside the MSCI Indexes for global markets of the US, Europe and China, as well as the oil prices for the 2005-2020 period. All the series are indexed to 100 at the start of the data series, on 31 May 2005.
Figure 5. Stationary series. Returns for each of the financial indexes are computed by taking the log deviation of the index series, and after conducting the Dickey-Fuller tests, the series are found stationary.
Figure 6. Connectedness network diagram. Above diagram represents the overall net direction of spillovers across the GCC and global markets examined. Arrows indicate the net flow of spillovers and the amount (in percentage) is the net transfer of spillovers computed as the difference between the pairwise outflow and inflow of spillovers for each possible pair of markets examined.

+5

The financial interconnectedness between global equity markets and crude oil: evidence from the GCC
  • Article
  • Full-text available

October 2021

·

530 Reads

·

9 Citations

Journal of Chinese Economic and Business Studies

·

Jia Zhai

This paper investigates the interconnectedness between the GCC region, crude oil prices, and global equity markets of the US, Europe, and China. We use DCC-GARCH models and the Diebold and Yilmaz (2012) approach to examine the dynamic connectedness and the net directional flow of spillovers. Consistent with previous studies, we find that the US and European markets are net global contributors of return and volatility shocks, whilst the Chinese equity markets are gradually becoming influential. Meanwhile, the GCC equity markets have been anet recipient of shocks from oil prices. Our empirical results provide some important insights. Firstly, the net transmission of shocks from oil prices to the GCC markets has been reducing over time. Secondly, the total connectedness nearly doubled in response to the global pandemic. Thirdly, the Chinese stock markets are gradually transforming into net transmitters of spillovers to other global equity markets.

Download

Citations (1)

... The research mainly contributes in the various ways. First, our study is different from the prior studies in the GCC region which have focused mostly on the connectedness between financial markets like stock indices, sectoral indices, and commodities (Hung, 2021;Yousuf and Zhai, 2022;Kapar et al., 2024). The present study focuses on the asymmetric connectedness, and hedging strategies over a comprehensive dataset, i.e., between thirteen Islamic Bank stocks in the GCC region (Saudi Arabia, Qatar, Bahrain, UAE, and Kuwait) and sixteen commodities (which include soft agriculture, energy, industry, and precious metal commodities) using an asymmetric TVP-VAR based connectedness technique of Antonakakis et al., 2020a, to uncover the total, negative, and positive return connectivity among the selected assets. ...

Reference:

Asymmetric connectedness and investment strategies between commodities and Islamic banks: Evidence from gulf cooperative council (GCC) markets
The financial interconnectedness between global equity markets and crude oil: evidence from the GCC

Journal of Chinese Economic and Business Studies

·

Jia Zhai