Title: Seasonality in Gulf Cooperation Council stock markets

Authors: Turki Alshammari

Addresses: Finance Department, College of Business Administration, Kuwait University, Kuwait

Abstract: This study strives to model the seasonality and the cyclicality of the Gulf Cooperation Council (GCC) stock markets returns. The study documents that the stock markets of Kuwait, Bahrain, Saudi Arabia, the Emirates, and Oman all show weekday seasonality, but the effect of that seasonality on stock returns is trifling, especially after considering the transaction cost. Besides, all GCC stock markets, except the Saudi market, show monthly seasonality. Furthermore, all GCC stock markets returns exhibit cyclicality. The results are robust to the employed econometric method. These results could be ascribed to country-specific investors' attitudes that might be employed to frame distinct investment strategies.

Keywords: Gulf Cooperation Council; GCC; seasonality; cyclicality; trend; Box-Jenkins; stock returns; market efficiency.

DOI: 10.1504/AAJFA.2023.132958

Afro-Asian Journal of Finance and Accounting, 2023 Vol.13 No.4, pp.452 - 466

Received: 07 May 2020
Accepted: 14 Dec 2020
Published online: 22 Aug 2023 *

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