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GCC equity market indices integration

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  • Mukesh Chaudhry
  • Robert J. Boldin

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.

Suggested Citation

  • Mukesh Chaudhry & Robert J. Boldin, 2012. "GCC equity market indices integration," Applied Financial Economics, Taylor & Francis Journals, vol. 22(6), pages 471-478, March.
    • Handle: RePEc:taf:apfiec:v:22:y:2012:i:6:p:471-478
    DOI: 10.1080/09603107.2011.619490
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    References listed on IDEAS

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    1. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
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    Cited by:

    1. Somar Almohamad & Anil V. Mishra & Xiao Yu, 2018. "Mena Stock Markets Integration: Pre and Post Global Financial Crisis," Australian Economic Papers, Wiley Blackwell, vol. 57(2), pages 107-141, June.
    2. Hamour, Mohamed & Masih, Mansur, 2017. "The dilemma of the sharia conscious investor: a time series analysis," MPRA Paper 106129, University Library of Munich, Germany.
    3. Kapar, Burcu & Olmo, Jose & Ghalayini, Rim, 2020. "Financial integration in the United Arab Emirates Stock Markets," Finance Research Letters, Elsevier, vol. 33(C).

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