عرض بسيط للتسجيلة

المؤلفAl-Maadid, Alanoud
المؤلفMaria Caporale, Guglielmo
المؤلفSpagnolo, Fabio
المؤلفSpagnolo, Nicola
تاريخ الإتاحة2023-01-17T06:57:08Z
تاريخ النشر2021
اسم المنشورInternational Journal of Finance and Economics
المصدرScopus
معرّف المصادر الموحدhttp://dx.doi.org/10.1002/ijfe.1810
معرّف المصادر الموحدhttp://hdl.handle.net/10576/38500
الملخصThis note investigates the effects of the recent political tensions in the Arabian peninsula on the linkages between the stock markets of the leading Gulf Cooperation Council countries by estimating a VAR-GARCH(1,1) model at a weekly frequency. The results indicate that the June 2017 crisis lowered stock market returns and generally led to greater volatility spillovers within the region. This evidence supports the need for further financial integration and suggests fewer portfolio diversification opportunities for investors in the Gulf Cooperation Council region. 2020 The Authors. International Journal of Finance & Economics published by John Wiley & Sons Ltd.
راعي المشروعWe would like to thank the editor and two anonimous referees for very helpful comments and suggestions. The first author would also like to thank Qatar University for financial support, Grant QUCP-CBE-2018-1. The findings are solely the responsibility of the authors.
اللغةen
الناشرJohn Wiley and Sons Ltd
الموضوعGCC
multivariate GARCH
political tension
العنوانPolitical tension and stock markets in the Arabian Peninsula
النوعArticle
الصفحات679-683
رقم العدد1
رقم المجلد26
dc.accessType Open Access


الملفات في هذه التسجيلة

Thumbnail

هذه التسجيلة تظهر في المجموعات التالية

عرض بسيط للتسجيلة