GCC equity market indices integration

Mukesh Chaudhry and Robert J. Boldin

Applied Financial Economics, 2012, vol. 22, issue 6, 471-478

Abstract: Integration linkages between the five financial equity market indices located in the Gulf Cooperation Council (GCC) countries are empirically analysed. Using methodologies that account for idiosyncratic factors in the data, evidence of linkages between the GCC countries are found. The findings have implications for hedging or diversification strategies, particularly in the long-run. For example, the presence of cointegration between the GCC countries provides opportunities for investor cross-hedging, especially if markets differ in liquidity.

Date: 2012
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DOI: 10.1080/09603107.2011.619490

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