Contagion effects of the U.S subprime crisis GCC stock markets

TL;DRAbstract

The Objectives of this study are twofold: first, it is to investigate whether contagion effect of U.S sub-prime crisis present among Gulf Cooperation Council (GCC) stock market; second, it is to evaluate the impact of U.S sub-prime crisis on the long-run and short-run dynamic relationships between GCC stock markets and leading conventional and Islamic stock market around the globe, over the period from July 5, 2004 to August 14, 2010. Tests based on correlation coefficients indicate that contagion from the US sub-prime crisis occurred in Saudi Arabia, Abu Dhabi, and Qatar

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