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US economic policy uncertainty spillover on the stock markets of the GCC countries

机译：美国经济政策不确定性对海湾合作委员会国家股市的溢出

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Purpose - This study aims to investigate the nature and degree of US economic policy uncertainty spillover on the stock markets of a group of non-conventional economies like the Gulf Cooperation Council (GCC) countries, where a risk-sharing-based financial system is prominent and foreign investment, risk-free interest, derivatives, etc. are not as widespread as in the western economies. Design/methodology/approach - the monthly data of 1992-2018, linear and nonlinear structural vector autoregression (VAR) model, and an impulse response-based test to explore the nature and degree of US economic policy uncertainty spillover on the stock markets of the GCC countries. Findings - This study finds that an unexpected increase in the US economic policy uncertainty significantly decreases the stock market index of all the GCC countries. This study also gets this relationship symmetric, meaning that the GCC stock market indices decrease and increase by the same amount when the US economic policy uncertainty increases and decreases, respectively. Originality/value This study investigates the characteristics of economic policy uncertainty spillover from the biggest economy of the world to the stock markets of the GCC region, which is new to the literature. The study results provide the first evidence that a risk-sharing based financial system does not necessarily protect the stock market from US uncertainty shock. However, the abundance of local investors, risk-sharing investment activities, the absence of derivatives, etc. may be responsible for the symmetric behavior of a stock market.
机译：目的-这项研究旨在调查美国经济政策不确定性在一系列非常规经济体（如海湾合作委员会（GCC）国家）的股票市场上溢出的性质和程度，在这些国家中，基于风险分担的金融体系十分突出外国投资，无风险利息，衍生工具等并不像西方经济体那样普遍。设计/方法/方法-1992-2018年的月度数据，线性和非线性结构矢量自回归（VAR）模型以及基于冲激响应的测试，以探索美国经济政策不确定性在股市中的溢出性质和程度。海湾合作委员会国家。调查结果-这项研究发现，美国经济政策不确定性的意外增加大大降低了所有海湾合作委员会国家的股市指数。这项研究也使这种关系对称，这意味着当美国经济政策不确定性分别增加和减少时，海湾合作委员会股票市场指数的减少和增加幅度相同。独创性/价值这项研究调查了经济政策不确定性从世界上最大的经济体向海湾合作委员会地区的股票市场溢出的特征，这对文献来说是新的。研究结果提供了第一个证据，即基于风险分担的金融体系并不一定能保护股票市场免受美国不确定性冲击的影响。但是，大量的本地投资者，分担风险的投资活动，缺乏衍生工具等可能是造成股市对称行为的原因。

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