Testing the Dynamic Co-Movement of GCC stock markets

Abstract

This paper aims to testing the co-movement, and conditional correlation between GCC stock Exchange indexes. This study includes four GCC Stock Exchange indexes: Saudi Arabia, Abu Dhabi, Dubai and Qatar during the period 01-01-2007 to 31-12-2018 for the weekly data, and using the multivariate GARCH models. We conclude that the previous shocks to the index of one of the stock exchanges affect the divergence of indices of other stock exchange indexes.