Political tension and stock markets in the Arabian Peninsula
Date
2020-01-03
Authors
Al-Maadid, Alanoud
Caporale, Guglielmo
Spagnolo, Fabio
Spagnolo, Nicola
Journal Title
Journal ISSN
Volume Title
Publisher
John Wiley & Sons Inc.
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.
Description
Keywords
GCC, multivariate GARCH, political tension
Citation
Al-Maadid A, Caporale GM, Spagnolo F, Spagnolo N. Political tension and stock markets in the Arabian peninsula. Int J Fin Econ. 2020;1–5. https://doi.org/10.1002/ijfe.1810
Collections
Source
International Journal of Finance and Economics
Type
Journal article
Book Title
Entity type
Access Statement
Open Access
License Rights
Creative Commons Attribution License