Political tension and stock markets in the Arabian Peninsula [IN PRESS]

Alanoud Al-Maadid, Guglielmo Caporale, Fabio Spagnolo, Nicola Spagnolo

    Research output: Contribution to journalArticle

    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 languageEnglish
    Pages (from-to)1-5
    JournalInternational Journal of Finance and Economics
    VolumeOnline
    DOIs
    Publication statusPublished - 2020

    Fingerprint

    Dive into the research topics of 'Political tension and stock markets in the Arabian Peninsula [IN PRESS]'. Together they form a unique fingerprint.

    Cite this