A hedging approach is used to examine the effectiveness of international diversification within the Gulf Co-operation Council (GCC) region. By using data covering the six GCC countries (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia, and UAE) and various sectors, we find that diversification across whole markets is more effective than diversification across sectors, irrespective of whether the constructed portfolios contain two or more assets. The results also reveal that diversification among several markets or sectors is more effective than diversification among two markets or sectors.

中文翻译：

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海湾合作委员会区域内的国家效应、行业效应和国际多元化的有效性

对冲方法用于检查海湾合作委员会 (GCC) 地区国际多元化的有效性。通过使用涵盖六个 GCC 国家（巴林、科威特、阿曼、卡塔尔、沙特阿拉伯和阿联酋）和各个部门的数据，我们发现，无论构建的投资组合是否包含两个或更多资产。结果还表明，多个市场或部门之间的多元化比两个市场或部门之间的多元化更有效。