Balcilar, MehmetDemirer, RızaHammoudeh, Shawkat2016-06-102015-09Balcilar, M, Demirer, R & Hammoudeh, S 2015, 'Regional and global spillovers and diversification opportunities in the GCC equity sectors', Emerging Markets Review, vol. 24, pp. 160-187.1566-0141 (print)1873-6173 (online)10.1016/j.ememar.2015.06.002http://hdl.handle.net/2263/53089This 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© 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.GCC-wide equity sectorsMultivariate regime-switchingTime-varying correlationsFinancial integrationInternational portfolio diversificationGulf Cooperation Council (GCC)Postprint Article