Anmerkungen:
In: International Journal of Monetary Economics and Finance, Vol. 3, No. 4, 2010
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 14, 2012 erstellt
Beschreibung:
Using time-varying systematic risk model, the paper estimates risk in a number of stock markets in the Gulf Cooperation Council (GCC) countries, including Saudi, Kuwait, Dubai and Abu-Dhabi markets. The results in the paper indicate that Saudi market is the most perilous in the group, as it shows wider range of systematic risk. The paper also shows that the effect of S&P 500 is very minimal on GCC markets volatility, implying that internal factors are more important in the short term than external factors in volatility dynamics