Political tension and stock markets in the Arabian Peninsula
| Author | Al-Maadid, Alanoud |
| Author | Maria Caporale, Guglielmo |
| Author | Spagnolo, Fabio |
| Author | Spagnolo, Nicola |
| Available date | 2023-01-17T06:57:08Z |
| Publication Date | 2021 |
| Publication Name | International Journal of Finance and Economics |
| Resource | Scopus |
| Abstract | This 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. |
| Sponsor | We 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. |
| Language | en |
| Publisher | John Wiley and Sons Ltd |
| Subject | GCC multivariate GARCH political tension |
| Type | Article |
| Pagination | 679-683 |
| Issue Number | 1 |
| Volume Number | 26 |
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