This paper employs extreme downside risk measures to estimate the impact of the global financial crisis in 2008/2009 on equity markets in major oil producing Middle East countries. The results in the paper indicate the spillover effect of the global crisis varied from a country to another, but...

This paper investigates estimation of extreme risk in a number of stock markets in the Gulf Cooperation Council (GCC) countries1, Saudi, Kuwait, and United Arab Emirates, in addition to S& P 500 stock index, using the Generalized Pareto Distribution (GPD) model. The estimated tails parameter...

Results in this paper support evidence of time-varying systematic risk (beta coefficients) for five sectors, their securities are traded in Kuwait Stock Market. The paper indicates banks, and real estate sectors exhibit relatively wider range of systematic risk variation compared to the other...