Investigating Some Characteristics and Features of the Gulf Cooperation Council Countries (GCC) Stock Markets

(Sam Mohamad)

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Abstract

In this paper, some GCC stock markets’ characteristics and features (volatility clustering, reversion to the mean, risk return relationship, leverage effect and weak-form efficiency) were investigated. For this purpose, the following tests and models were applied: augmented dickey fuller test and the models GARCH (1.1), EGARCH (1.1) and GARCH-M (1.1), using data over a period from 2010 until 2013 for all the markets except Kuwait stock markets (its data was until 2012). It was concluded after the implementation that the stock markets of Saudi Arabia, Dubai, Qatar, Kuwait and Oman were characterized by all studied features in this work, except for weak-form efficiency. Bahrain stock market was characterized by all the features except for leverage effect and weak-form efficiency whereas Abu Dhabi stock market was characterized by one feature only (i.e. the reversion to the mean). KEYWORDS GARCH models, leverage effect, volatility clustering
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