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Political tension and stock markets in the Arabian Peninsula

Author

Listed:
  • Alanoud Al‐Maadid
  • Guglielmo Maria Caporale
  • Fabio Spagnolo
  • Nicola Spagnolo

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.

Suggested Citation

  • Alanoud Al‐Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2021. "Political tension and stock markets in the Arabian Peninsula," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 679-683, January.
    • Handle: RePEc:wly:ijfiec:v:26:y:2021:i:1:p:679-683
    DOI: 10.1002/ijfe.1810
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    References listed on IDEAS

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    6. Tahsin Saadi Sedik & Mr. Oral Williams, 2011. "Global and Regional Spillovers to GCC Equity Markets," IMF Working Papers 2011/138, International Monetary Fund.
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    Cited by:

    1. Jassem Alokla & Arief Daynes & Paraskevas Pagas & Panagiotis Tzouvanas, 2023. "Solvency determinants: evidence from the Takaful insurance industry," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 48(4), pages 847-871, October.
    2. Kerim Peren Arin & Guglielmo Maria Caporale & Kyriacos Kyriacou & Nicola Spagnolo, 2020. "Financial Integration in the GCC Region: Market Size Versus National Effects," Open Economies Review, Springer, vol. 31(2), pages 309-316, April.
    3. Ahmed H. Elsayed & Mohamad Husam Helmi, 2021. "Volatility transmission and spillover dynamics across financial markets: the role of geopolitical risk," Annals of Operations Research, Springer, vol. 305(1), pages 1-22, October.

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    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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