dc.contributor.author |
Balcilar, Mehmet
|
|
dc.contributor.author |
Demirer, Rıza
|
|
dc.contributor.author |
Hammoudeh, Shawkat
|
|
dc.date.accessioned |
2016-06-10T08:42:31Z |
|
dc.date.issued |
2015-09 |
|
dc.description.abstract |
This paper examines the international diversification benefits of blocwide
equity sectors in the oil-rich Gulf Cooperation Council (GCC) countries
by comparing alternative spillover models that encompass local,
regional and global factors. Some GCC-wide equity sectors/subsectors
are found to display segmentation from global markets during periods
of high and extreme market volatility, and thus can serve as safe havens
for international portfolio investors during such periods. The in- and
out-of-sample portfolio analyses further suggest that supplementing
global portfolios with positions in the GCC markets yields significant
international diversification benefits, consistently offering much
improved risk-adjusted returns across the alternative spillover models. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.embargo |
2016-09-30 |
|
dc.description.librarian |
hb2016 |
en_ZA |
dc.description.uri |
http://www.elsevier.com/locate/emr |
en_ZA |
dc.identifier.citation |
Balcilar, M, Demirer, R & Hammoudeh, S 2015, 'Regional and global spillovers and diversification opportunities in the GCC equity sectors', Emerging Markets Review, vol. 24, pp. 160-187. |
en_ZA |
dc.identifier.issn |
1566-0141 (print) |
|
dc.identifier.issn |
1873-6173 (online) |
|
dc.identifier.other |
10.1016/j.ememar.2015.06.002 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/53089 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Elsevier |
en_ZA |
dc.rights |
© 2015 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Emerging Markets Review. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Emerging Markets Review, vol. 24, pp. 160-187, 2015. doi : 10.1016/j.ememar.2015.06.002. |
en_ZA |
dc.subject |
GCC-wide equity sectors |
en_ZA |
dc.subject |
Multivariate regime-switching |
en_ZA |
dc.subject |
Time-varying correlations |
en_ZA |
dc.subject |
Financial integration |
en_ZA |
dc.subject |
International portfolio diversification |
en_ZA |
dc.subject |
Gulf Cooperation Council (GCC) |
en_ZA |
dc.title |
Regional and global spillovers and diversification opportunities in the GCC equity sectors |
en_ZA |
dc.type |
Postprint Article |
en_ZA |