Our study is focused on investigating whether international financial integration affects international diversification gains into GCC markets by employing a conditional version of the ICAPM. Our findings suggest that GCC markets are not perfectly integrated with the global market portfolio. Our results suggest that diversification gains are important for some GCC markets (KSA, UAE, and Qatar), less important for some others (Oman and Bahrain) and to a loss when we invest in Kuwait. That is, investing in GCC markets can lead to high and attractive benefits especially in UAE and KSA. However, financial crises reduce these gains.