Theoretical and Applied Economics
No. 3 / 2026 (648), Autumn
Comparing regional and global spillovers to the GCC equity markets
University of Salford, United Kingdom
Abstract. This paper explores the global and regional financial connectedness for equity markets in the Gulf Cooperation Council (GCC) countries. Our empirical research benefits from two econometric approaches; the Diebold and Yilmaz (2012) connectedness approach and the DCC-GARCH model. These are applied to an extensive dataset of relevant MSCI indexes that consist of daily frequency data. For empirical analysis, the MSCI country level indexes are used to construct regional indexes separately for each country within the selected region. Our results indicate that the GCC equity markets are more strongly integrated intra-regionally, when compared against their level of integration with global markets.
Contents
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The Impact of Fiscal Policy on Inflation in Romania
Comparing regional and global spillovers to the GCC equity markets
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