Country Effects, Industry Effects and the Effectiveness of International Diversification Within the GCC Region

Sulaiman Al-Jassar and Imad A. Moosa
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Sulaiman Al-Jassar: Department of Finance and Financial Institutions, Kuwait University, Kuwait
Imad A. Moosa: School of Economics, Finance and Marketing, RMIT, 445 Swanston Street, Melbourne, Victoria 3000, Australia

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2019, vol. 22, issue 04, 1-18

Abstract: A hedging approach is used to examine the effectiveness of international diversification within the Gulf Co-operation Council (GCC) region. By using data covering the six GCC countries (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia, and UAE) and various sectors, we find that diversification across whole markets is more effective than diversification across sectors, irrespective of whether the constructed portfolios contain two or more assets. The results also reveal that diversification among several markets or sectors is more effective than diversification among two markets or sectors.

Keywords: International diversification; variance ratio; variance reduction; Gulf Co-operation Council (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1142/S0219091519500280

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