Regional and global spillovers and diversification opportunities in the GCC equity sectors |
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| Institution: | 1. Department of Economics, Eastern Mediterranean University, Famagusta, T. R. North Cyprus, via Mersin 10, Turkey;2. Department of Economics, University of Pretoria, Pretoria 0002, South Africa;3. Department of Economics & Finance, Southern Illinois University Edwardsville, Edwardsville, IL 62026-1102, United States;4. Lebow College of Business, Drexel University, Philadelphia, PA 19104, United States;5. IPAG Lab, IPAG Business School, France;1. Facultad de Ingeniería, Universidad de Talca, Camino a los Niches km. 1, Curicó, Chile;2. Facultad rde Economía y Negocios, Universidad de Talca, Av. Lircay s/n, Talca, Chile;3. School of Economics and Finance, Queensland University of Technology, Australia |
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| 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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