The study of volatility transmission across markets commonly termed “volatility spillover” provides useful insights into how information disseminates across markets. Research results in this area have useful implications for issues such as international or regional diversification and market efficiency. In this paper, multivariate GARCH model was employed to investigate volatility and information transmission across the Gulf Cooperation Council (GCC) markets. The model separates direct volatility transmission from indirect transmission, which is mainly due to cross-regional diversification and hedging strategies undertaken by portfolio managers. Findings of the study show that effects of indirect volatility transmission are more prominent than direct transmission effects across the GCC markets.
