IDEAS home Printed from https://ideas.repec.org/p/hal/wpaper/hal-04938174.html
   My bibliography  Save this paper

New evidence on time-varying financial integration within Gulf Cooperation Council stock markets

Author

Listed:
  • Salem Boubakri

    (SUAD - Sorbonne University Abu Dhabi)

  • Cyriac Guillaumin

    (CREG - Centre de recherche en économie de Grenoble - UGA - Université Grenoble Alpes)

Abstract

: The aim of this study is to investigate the dynamics of regional financial integration among Gulf Cooperation Council (GCC) countries by pricing the local stock market return based on different risk premia related to the regional stock market and exchange market. Our approach is based on the international capital asset pricing model (ICAPM), which accounts for the degree of financial integration in the pricing of market risk premia. We also construct a regional currency basket, named Khaleeji, in order to obtain a reference currency in this area and to prospect the twin objective: a lesser peg to the US dollar and the emergence of regional monetary cooperation. Our main findings show that GCC stock markets are impacted by both regional and local financial shocks and crises. Analysis of the long-term dynamics highlights that the regional risk premium is not negligible for GCC countries, and better cooperation can enhance regional risk-sharing. The results also indicate that the degree of regional financial integration varies from country to country, leaning toward a partial integration level of GCC countries within their region. The increasing importance of regional risk premia and financial integration could encourage further financial cooperation among GCC countries, ultimately leading to better economic integration.

Suggested Citation

  • Salem Boubakri & Cyriac Guillaumin, 2023. "New evidence on time-varying financial integration within Gulf Cooperation Council stock markets," Working Papers hal-04938174, HAL.
    • Handle: RePEc:hal:wpaper:hal-04938174
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:hal-04938174. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.