English Abstract
Abstract:
This thesis seeks to assess the return and volatility spillovers that occur
between cryptocurrencies, stock market, oil prices among selected GCC
countries during 2018-2024. Using Diagonal BEKK model, the return and
volatility spillover are assessed for three cryptocurrencies namely Bitcoin
cash, Ethereum and Bitcoin, Crude oil prices and the stock market indices of
GCC countries namely BAX, MSX 30, QE General Index and TASI. The
empirical findings demonstrate that there is no or little return spillover
between crude oil, stock market indices, and cryptocurrencies. The GCC's
crude oil prices, stock market indices, and cryptocurrency values are all highly
volatile.
