Time varying international financial integration for GCC stock markets

Abdullah R. Alotaibi and Anil Mishra ()

The Quarterly Review of Economics and Finance, 2017, vol. 63, issue C, 66-78

Abstract: This paper develops international financial integration index for GCC stock markets by employing an international asset pricing model of time-varying market integration and DCC-GARCH methodology. There are wide ranges in the degree of integration for GCC stock markets and none of them appear to be under complete segmentation. We find that trade openness, financial market development, turnover and oil revenue have significant positive impact on integration index of GCC stock markets. Global financial crisis has a significant negative impact on integration index. Our results have policy implications for GCC markets.

Keywords: International financial integration index; Time varying market integration; International asset pricing model; DCC-GARCH (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:63:y:2017:i:c:p:66-78

DOI: 10.1016/j.qref.2016.03.001

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