Abstract
This paper examined the linkages between the equity markets in the Gulf Cooperation Council's (GCC) region. Specifically, we applied a bounded test using an Auto RegressiveDistributed Lag (ARDL) model to determine if the markets are cointegrated. In contrast to traditional cointegration analysis, the ARDL procedure does not require the prior determination of the order of integration of the variables. The cointegration tests showed that the GCC markets are segmented. However, the subset of the markets comprising the oil and gas economies of Saudi Arabia, Kuwait and Qatar, along with Oman and Dubai share a common trend.
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