Gulf Cooperation Council (GCC) stock markets: The dawn of a new era

Economic reforms and continuing market liberalization in the GCC strongly affect investors' demand for shares, resulting in an almost tripled market capitalization and a more than quadrupled average daily turnover, since 2002. We analyze the impact of this tremendous increase in market activity and the region's drive towards economic integration on the return behavior and the dynamic relationships among the regional stock markets. The objective is to determine the market dynamics and contemporaneous interactions of the stock markets of Bahrain, Kuwait, Oman, Qatar, Saudi Arabia, and the United Arab Emirates. While the return behavior is clearly not homogeneous, we find evidence of increasing market integration.