Dataset for petroleum based stock markets and GAUSS codes for SAMEM

Area of Science:

• Economics
• Finance
• Econometrics

Background:

• Stock markets in oil-rich economies are sensitive to energy price fluctuations.
• Understanding volatility spillovers is crucial for financial stability in these regions.

Purpose of the Study:

• To present a unique dataset of oil and natural gas volatility alongside stock market data from key Middle Eastern economies.
• To introduce and apply the spillover asymmetric multiplicative error model (SAMEM) to analyze these financial interdependencies.

Main Methods:

• Collection of balanced daily stock market data from Saudi Arabia, Qatar, Kuwait, Abu Dhabi, Dubai, Bahrain, and Oman (Oct. 2006 - July 2015).
• Estimation of the spillover asymmetric multiplicative error model (SAMEM) using unique GAUSS codes.
• Analysis of volatility spillovers between energy markets and petroleum-based stock markets.

Main Results:

• The study provides a comprehensive dataset and estimation codes for SAMEM.
• Empirical application demonstrates the model's utility in analyzing volatility transmission in petroleum-based stock markets.
• Identified significant interdependencies between oil and gas volatility and stock market performance in the studied economies.

Conclusions:

• The provided data, model (SAMEM), and GAUSS codes offer valuable tools for researchers and practitioners.
• Findings contribute to a deeper understanding of financial market dynamics in energy-dependent economies.
• The research has broad applications in business, finance, and social science, particularly concerning risk management and investment strategies.