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Effect of Qatar diplomatic and economic isolation on Qatar stock market volatility: an event study approach

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  • Burcu Kapar
  • Steven Buigut

Abstract

In this study we assess the impact of the political and economic blockade of Qatar, as well as four other events related to the blockade on Qatar’s stock market volatility. One of these events occurred before the June 5 2017 blockade while the others occurred after. We use volatility event-study approach to test the abnormal unsystematic volatility in stock returns. We reveal that stock market volatility has reacted significantly to the blockade as well as to other related events that happened before and after the blockade. Our findings highlight the importance of continuing, and even bolstering, the ongoing mediation efforts to reduce the risk of a resurgence of hostilities. As there is no resolution yet, there is still a risk of future market volatility and thus changes in portfolio allocation and investment decisions not only in Qatar but also in the GCC.

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  • Burcu Kapar & Steven Buigut, 2020. "Effect of Qatar diplomatic and economic isolation on Qatar stock market volatility: an event study approach," Applied Economics, Taylor & Francis Journals, vol. 52(55), pages 6022-6030, November.
    • Handle: RePEc:taf:applec:v:52:y:2020:i:55:p:6022-6030
    DOI: 10.1080/00036846.2020.1781776
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    Cited by:

    1. Ngo Thai Hung, 2021. "Financial connectedness of GCC emerging stock markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(4), pages 753-773, December.
    2. Khalfaoui, Rabeh & Gozgor, Giray & Goodell, John W., 2023. "Impact of Russia-Ukraine war attention on cryptocurrency: Evidence from quantile dependence analysis," Finance Research Letters, Elsevier, vol. 52(C).
    3. Kamal, Md Rajib & Ahmed, Shaker & Hasan, Mostafa Monzur, 2023. "The impact of the Russia-Ukraine crisis on the stock market: Evidence from Australia," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).

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