EconPapers    
Economics at your fingertips  
 

Sectoral equity returns and portfolio diversification opportunities across the GCC region

Faruk Balli, Syed Abul Basher and Rosmy Jean Louis

Journal of International Financial Markets, Institutions and Money, 2013, vol. 25, issue C, 33-48

Abstract: We examine the spillover effects of local and global shocks on Gulf Cooperation Council (GCC)-wide sector equity returns. We find the GCC-wide sector returns have asynchronous responses to global and regional shocks. Although the effects of these shocks differ in magnitude across individual GCC-wide sector returns, there is evidence that the GCC-wide sector equity markets are mostly driven by their own volatilities. For the basic materials, telecom and utility sectors, the effects of regional and global shocks are lower in magnitude in comparison to the rest of the GCC-wide sector indices. Applying a time-varying spillover model, we also indicate that the effect of global shocks on the volatility of GCC sector returns has been decreasing, whereas regional shocks have been affecting the sector indices with a positive and significant trend. We also document that portfolios diversified across GCC-wide sectors perform better than portfolios diversified across GCC national equity markets. To some extent, portfolios diversified with a mix of GCC-wide sector and national equities produce higher returns than portfolios made up of pure GCC national equity indices or GCC-wide sector indices.

Keywords: GCC stock markets; Portfolio diversification; Sectoral equity indices (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042443113000024
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Sectoral equity returns and portfolio diversification opportunities across the GCC region (2013) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:25:y:2013:i:c:p:33-48

DOI: 10.1016/j.intfin.2013.01.001

Access Statistics for this article

Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

More articles in Journal of International Financial Markets, Institutions and Money from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-19
Handle: RePEc:eee:intfin:v:25:y:2013:i:c:p:33-48