This study examines portfolio diversification benefits in the frontier Gulf Cooperation Council (GCC) stock markets, using two diversification measures: the correlation index and return dispersion. The findings suggest a strong link between market volatility and the cross-sectional distribution...

Utilizing the recently developed measure of global risk aversion by Xu (2017), we show that global risk aversion is a significant determinant of international equity correlations, consistently across all emerging markets examined. The positive effect of risk aversion on emerging market...

This paper explores international diversification benefits of Islamic bonds (sukuk) by examining dynamic spillovers and correlations between sukuk and conventional bond and stock markets. Asymmetric volatility spillover effects are observed from global debt and equity markets to Islamic bonds,...