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GCC stock markets: How risky are they?

Author

Listed:
  • Ibrahim A. Onour
  • Bruno S. Sergi

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.

Suggested Citation

  • Ibrahim A. Onour & Bruno S. Sergi, 2010. "GCC stock markets: How risky are they?," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 3(4), pages 330-337.
    • Handle: RePEc:ids:ijmefi:v:3:y:2010:i:4:p:330-337
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    Citations

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    Cited by:

    1. Onour, Ibrahim, 2021. "The impact of the covid-19 pandemic on major Asian stock markets: evidence of decoupling effects," MPRA Paper 115994, University Library of Munich, Germany.
    2. Tarek Chebbi & Abdelkader Derbali, 2015. "The dynamic correlation between energy commodities and Islamic stock market: analysis and forecasting," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 8(2), pages 112-126.
    3. Onour, Ibrahim A., 2021. "The impact of COVID-19 pandemic shock on major Asian stock markets: evidence of decoupling effects," Economic Consultant, Roman I. Ostapenko, vol. 34(2), pages 21-32.
    4. Yadav, Miklesh Prasad & Sharif, Taimur & Ashok, Shruti & Dhingra, Deepika & Abedin, Mohammad Zoynul, 2023. "Investigating volatility spillover of energy commodities in the context of the Chinese and European stock markets," Research in International Business and Finance, Elsevier, vol. 65(C).

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