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Sectoral equity returns and portfolio diversification opportunities across the GCC region
16 references·12 citing·40 second hop
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1997Emerging equity market volatility1,703 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 2005Market Integration and Contagion1,061 cited
  • 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility874 cited
  • 1981Performance Hypothesis Testing with the Sharpe and Treynor Measures860 cited
  • 1990Volatiltiy and Links Between National Stock Markets709 cited
  • 1994Volatility and Links between National Stock Markets679 cited
  • 2000Volatility spillover effects from Japan and the US to the Pacific–Basin670 cited
  • 2005Volatility Spillover Effects in European Equity Markets651 cited
  • 1987Mean-Variance Spanning590 cited
  • 1988Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills587 cited

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Are Financial Assets Priced Locally or Globally?
548 cited

Cited by

  • 2021Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs112 cited
  • 2015Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries94 cited
  • 2016Time varying international financial integration for GCC stock markets43 cited
  • 2014Dependence patterns across Gulf Arab stock markets: A copula approach38 cited
  • 2015The transmission of market shocks and bilateral linkages: Evidence from emerging economies35 cited
  • 2015Regional and global spillovers and diversification opportunities in the GCC equity sectors34 cited
  • 2020Do Sukuk provide diversification benefits to conventional bond investors? Evidence from Turkey31 cited
  • 2022Spillovers on sectoral sukuk returns: evidence from country level analysis31 cited
  • 2018Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets30 cited
  • 2020Spillovers and diversification potential of bank equity returns from developed and emerging America29 cited
  • 2014Diversification across ASEAN-wide sectoral and national equity returns28 cited
  • 2016Do oil producing countries offer international diversification benefits? Evidence from GCC countries28 cited