Journal article
Regional and global spillovers and diversification opportunities in the GCC equity sectors
Emerging markets review, v 24(24), pp 160-187
Sep 2015
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper examines the international diversification benefits of bloc-wide 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.
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Details
- Title
- Regional and global spillovers and diversification opportunities in the GCC equity sectors
- Creators
- Mehmet Balcılar - Department of Economics, Eastern Mediterranean University, Famagusta, T. R. North Cyprus, via Mersin 10, TurkeyRıza Demirer - Southern Illinois University EdwardsvilleShawkat Hammoudeh - Drexel University
- Publication Details
- Emerging markets review, v 24(24), pp 160-187
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000363082600010
- Scopus ID
- 2-s2.0-84936857350
- Other Identifier
- 991019167628204721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance
- Economics