GCC stock markets: How risky are they?

Ibrahim Onour and Bruno S. Sergi

International Journal of Monetary Economics and Finance, 2010, vol. 3, issue 4, 330-337

Abstract: Using time-varying systematic risk model, the paper estimates risk in a number of stock markets in the Gulf Cooperation Council (GCC) countries, including Saudi, Kuwait, Dubai and Abu-Dhabi markets. The results in the paper indicate that Saudi market is the most perilous in the group, as it shows wider range of systematic risk. The paper also shows that the effect of S&P 500 is very minimal on GCC markets volatility, implying that internal factors are more important in the short term than external factors in volatility dynamics.

Keywords: systematic risk; VaR; value at risk; generalised Pareto distribution; expected shortfall; extreme risk; risk assessment; risk modelling; Gulf Cooperation Council countries; GCC countries; stock markets; stock market risks; market volatility; Saudi Arabia; Kuwait; Dubai; Abu-Dhabi. (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.inderscience.com/link.php?id=35595 (text/html)
Access to full text is restricted to subscribers.

Related works:
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:ids:ijmefi:v:3:y:2010:i:4:p:330-337

Access Statistics for this article

More articles in International Journal of Monetary Economics and Finance from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker (informationadministrator5@inderscience.com).