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Political tension and stock markets in the Arabian Peninsula
Author(s) -
AlMaadid Alanoud,
Maria Caporale Guglielmo,
Spagnolo Fabio,
Spagnolo Nicola
Publication year - 2021
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.1810
Subject(s) - peninsula , stock (firearms) , volatility (finance) , economics , diversification (marketing strategy) , autoregressive conditional heteroskedasticity , stock market , financial economics , politics , monetary economics , financial market , international economics , business , finance , geography , political science , context (archaeology) , archaeology , marketing , law
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.