Inter- and Intra-Regional Stock Market Relations for the GCC Bloc



Ziadat S, Herbst P & McMillan D (2020) Inter- and Intra-Regional Stock Market Relations for the GCC Bloc. Research in International Business and Finance, 54, Art. No.: 101292.

This paper examines the patterns of information transmission for equity markets in the seven Gulf Cooperation Council countries over the period from 2004 to 2019. Using weekly data, correlations and spillovers both within the region and from the US, the EU and Japan are modelled through the Dynamic Conditional Correlation-GARCH model and the Diebold-Yilmaz spillover index. While GCC markets exhibit increasing correlations with, primarily, the EU and, to a lesser extent, the US, they nonetheless remain relatively less interlinked globally. Our findings support significant return and volatility spillovers from the EU and the US to the GCC markets, with stronger spillovers from the EU. Intra-regionally, the UAE is the main transmitter and receiver of spillovers between the GCC and world markets. Furthermore, we see evidence of a decoupling pattern within the GCC countries, with notable segmentation in the markets of Bahrain and Kuwait.

GCC; Stock Markets; Correlation; Spillovers

Research in International Business and Finance: Volume 54

Publication date31/12/2020
Publication date online10/07/2020
Date accepted by journal09/07/2020

People (3)


Dr Patrick Herbst
Dr Patrick Herbst

Senior Lecturer, Accounting & Finance

Professor David McMillan
Professor David McMillan

Professor in Finance, Accounting & Finance

Mr Salem Ziadat
Mr Salem Ziadat

PhD Researcher, Accounting & Finance