Idiosyncratic risk and expected returns in frontier markets: Evidence from GCC

► We investigate the pricing of idiosyncratic volatility in six GCC stock markets. ► We confirm AHXZ (2006) negative relationship for Saudi Arabia and Qatar. ► The sign turns positive when we measure idiosyncratic volatility by EGARCH/AR Models. ► We test the relationship between pricing and country governance level. ► Risk pricing is weaker in higher country governance and not in financial development.