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The authors are grateful to David Bessler, Raphael Espinoza, Faisal Hasan, Tigran Poghosyan, David O. Robinson, the participants at the MCD Seminar for their insightful comments, the Central Bank of Oman and MCM’s Central Banking Division. Arthur Ribeiro provided excellent research assistance. All errors and omissions remain ours.
As of December 2010 the GCCs share of OPECs excess capacity was 78 percent.
However informal market exist for much longer time.
In May 2010 the FTSE include the U.A.E. exchanges in its emerging markets index which is followed by 170 different funds.
The sample is dictated by the data availability for some GCC markets. UAE index is available from June 2002 onward. Dubai index is used as a proxy for the UAE index from April 2000 to May 2002.
We use nominal GDP as weights because time series for market capitalization are not available for some GCC stock markets. Annual GDP data were converted into monthly data and weights were calculated as 24-months moving averages.
The second term is the short run persistence (or the ARCH effects of past shocks), and the third term is the contribution to the long run persistence (or the GARCH effects of past volatilities).
The results for equations 8 to 10 are simultaneously computed and they are available upon request. The conditional distribution of the error term was assumed to be normal (Gaussian) distribution. As an alternative, a residual vector (εt) following the t-student distribution has also been considered. Results are broadly similar and therefore not reported. The complete set of results is available from the authors upon request.
However, these coefficients are not strictly comparable owing to difference in sample size and specification of the mean equations.
While the number of observations increased with higher frequency data, the period is shorter because some GCC countries published weekly data from mid-2001 onward.
For example, French (1980) observed that Friday returns were greater on average while Monday returns were less than the average.