Authors: Ibrahim A. Onour, Bruno S. Sergi
Addresses: The Arab Planning Institute, P.O. Box 5834 Safat 13059, State of Kuwait. ' DESMaS ''V. Pareto'', University of Messina, Via T. Cannizzaro, 278, Messina 98122, Italy
Abstract: 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.
Keywords: systematic risk; VaR; value at risk; generalised Pareto distribution; expected shortfall; extreme risk; risk assessment; risk modelling; Gulf Cooperation Council countries; GCC countries; stock markets; stock market risks; market volatility; Saudi Arabia; Kuwait; Dubai; Abu-Dhabi.
International Journal of Monetary Economics and Finance, 2010 Vol.3 No.4, pp.330 - 337
Published online: 01 Oct 2010 *Full-text access for editors Access for subscribers Purchase this article Comment on this article