Political tension and stock markets in the Arabian Peninsula

Alanoud Al-Maadid; Guglielmo Maria Caporale; Fabio Spagnolo; Nicola Spagnolo

doi:10.1002/ijfe.1810

Political tension and stock markets in the Arabian Peninsula

Alanoud Al-Maadid, Guglielmo Maria Caporale^*, Fabio Spagnolo, Nicola Spagnolo

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

7 Citations (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.

Original language	English
Pages (from-to)	679-683
Number of pages	5
Journal	International Journal of Finance and Economics
Volume	26
Issue number	1
DOIs	https://doi.org/10.1002/ijfe.1810
Publication status	Published - Jan 2021

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Political tension and stock markets in the Arabian Peninsula

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