Regional and global spillovers and diversification opportunities in the GCC equity sectors

Show simple item record Balcilar, Mehmet Demirer, Rıza Hammoudeh, Shawkat 2016-06-10T08:42:31Z 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 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.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

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