Integration of stock markets in the GCC countries: An application of the ARDL bounds testing model

This paper empirically investigates the integration among the GCC stock markets using the autoregressive distributed lag (ARDL) approach. In all cases, the results indicate the existence of long run relationship among the six GCC stock indices. In general, Abu Dhabi, Kuwaiti and Saudi stock market indices affected by each other in the long run, while each of them, more or less, affect Qatar, Bahrain and Oman. In particular, Qatar and Oman affected by Abu Dhabi and Kuwait and Saudi Arabia while Bahrain affected by Abu Dhabi, Kuwait and Qatar. Significant implication can be drawn from our result that the portfolio diversification in the context of the GCC stock market can bear little or no benefits for investors in the long run.