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US energy policies and variance in the GCC stock markets
Author(s) -
Sita Bernard Ben,
Haidar Ranim
Publication year - 2013
Publication title -
opec energy review
Language(s) - English
Resource type - Journals
eISSN - 1753-0237
pISSN - 1753-0229
DOI - 10.1111/j.1753-0237.2012.00230.x
Subject(s) - stock (firearms) , conditional variance , autoregressive conditional heteroskedasticity , variance (accounting) , economics , econometrics , mean reversion , financial economics , monetary economics , geography , volatility (finance) , accounting , archaeology
We investigate the impact of bills about energy policy, introduced and discussed in the US C ongress, on the conditional variance process of the five largest G ulf C ooperation C ouncil ( GCC ) stock markets. Using an augmented asymmetric G eneralized A uto R egressive C onditional H eteroskedasticity ( 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 C ongress.