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Time varying international financial integration for GCC stock markets

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  • Alotaibi, Abdullah R.
  • Mishra, Anil V.

Abstract

This paper develops international financial integration index for GCC stock markets by employing an international asset pricing model of time-varying market integration and DCC-GARCH methodology. There are wide ranges in the degree of integration for GCC stock markets and none of them appear to be under complete segmentation. We find that trade openness, financial market development, turnover and oil revenue have significant positive impact on integration index of GCC stock markets. Global financial crisis has a significant negative impact on integration index. Our results have policy implications for GCC markets.

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  • Alotaibi, Abdullah R. & Mishra, Anil V., 2017. "Time varying international financial integration for GCC stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 66-78.
    • Handle: RePEc:eee:quaeco:v:63:y:2017:i:c:p:66-78
    DOI: 10.1016/j.qref.2016.03.001
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    2. Donadelli, M. & Gufler, I. & Paradiso, A., 2024. "Financial market integration: A complex and controversial journey," International Review of Financial Analysis, Elsevier, vol. 92(C).
    3. Mensi, Walid & Hamdi, Atef & Yoon, Seong-Min, 2018. "Modelling multifractality and efficiency of GCC stock markets using the MF-DFA approach: A comparative analysis of global, regional and Islamic markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1107-1116.
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    5. Bhattacharya, Mita & Inekwe, John Nkwoma & Valenzuela, Maria Rebecca, 2018. "Financial integration in Africa: New evidence using network approach," Economic Modelling, Elsevier, vol. 72(C), pages 379-390.
    6. Ivan S. Blahun & Lesia Dmytryshyn & Ivan I. Blahun & Semen Blahun, 2022. "Stock Indices as Indicators of Market Efficiency and Interaction," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 8, pages 87-106.
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    8. Abuzayed, Bana & Al-Fayoumi, Nedal, 2021. "Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
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    13. Muhammad Usman Khurram & Kashif Hamid & Rana Shahid Imdad Akash, 2019. "Market Efficiency, Financial Integration, And Shock Transmission (Empirical Evidence From D-8 Economies)," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", vol. 5(4).
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    More about this item

    Keywords

    International financial integration index; Time varying market integration; International asset pricing model; DCC-GARCH;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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