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http://bura.brunel.ac.uk/handle/2438/19354| Title: | Political Tension and Stock Markets in the Arabian Peninsula |
| Authors: | Al-Maadid, A Caporale, GM Spagnolo, F Spagnolo, N |
| Keywords: | GCC;multivariate GARCH;political tension |
| Issue Date: | 3-Jan-2020 |
| Citation: | Al-Maadid, A., Caporale, G.M., Spagnolo, F. and Spagnolo, N. (2021) 'Political tension and stock markets in the Arabian Peninsula', International Journal of Finance and Economics, 26 (1), pp. 679 - 683. doi: 10.1002/ijfe.1810. |
| Abstract: | © 2020 The Authors. 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. |
| URI: | https://bura.brunel.ac.uk/handle/2438/19354 |
| DOI: | https://doi.org/10.1002/ijfe.1810 |
| ISSN: | 1076-9307 |
| Appears in Collections: | Dept of Economics and Finance Research Papers |
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|---|---|---|---|---|
| FullText.pdf | 335.51 kB | Adobe PDF | View/Open |
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