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AuthorAl-Maadid, Alanoud
AuthorMaria Caporale, Guglielmo
AuthorSpagnolo, Fabio
AuthorSpagnolo, Nicola
Available date2023-01-17T06:57:08Z
Publication Date2021
Publication NameInternational Journal of Finance and Economics
ResourceScopus
URIhttp://dx.doi.org/10.1002/ijfe.1810
URIhttp://hdl.handle.net/10576/38500
AbstractThis 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.
SponsorWe 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.
Languageen
PublisherJohn Wiley and Sons Ltd
SubjectGCC
multivariate GARCH
political tension
TitlePolitical tension and stock markets in the Arabian Peninsula
TypeArticle
Pagination679-683
Issue Number1
Volume Number26
dc.accessType Open Access


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