Dataset for petroleum based stock markets and GAUSS codes for SAMEM

Ahmed A A Khalifa; Pietro Bertuccelli; Edoardo Otranto

doi:10.1016/j.dib.2016.10.031

Dataset for petroleum based stock markets and GAUSS codes for SAMEM

Data Brief. 2016 Nov 30:10:421-425. doi: 10.1016/j.dib.2016.10.031. eCollection 2017 Feb.

Authors

Ahmed A A Khalifa¹, Pietro Bertuccelli², Edoardo Otranto³

Affiliations

¹ College of Business and Economics, Qatar University, Doha, Qatar.
² Università degli Studi di Messina, Italy.
³ University of Messina, Italy.

Abstract

This article includes a unique data set of a balanced daily (Monday, Tuesday and Wednesday) for oil and natural gas volatility and the oil rich economies' stock markets for Saudi Arabia, Qatar, Kuwait, Abu Dhabi, Dubai, Bahrain and Oman, using daily data over the period spanning Oct. 18, 2006-July 30, 2015. Additionally, we have included unique GAUSS codes for estimating the spillover asymmetric multiplicative error model (SAMEM) with application to Petroleum-Based Stock Market. The data, the model and the codes have many applications in business and social science.

Keywords: GAUSS codes; Petroleum based stock markets; Resources economics; SAMEM; Volatility.