Time varying international financial integration for GCC stock markets

Abdullah R. Alotaibi, Anil V. Mishra

Research output: Contribution to journalArticlepeer-review

27 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)66-78
Number of pages13
JournalQuarterly Review of Economics and Finance
Volume63
DOIs
Publication statusPublished - 2017

Keywords

  • Global Financial Crisis, 2008-2009
  • finance
  • marketing

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