Arbeitspapier

Political Tension and Stock Markets in the Arabian Peninsula

zu Verbundenen Objekten

This note investigates the effects of the recent political tensions in the Arabian peninsula on the linkages between the stock markets of the leading GCC 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 GCC region.

Sprache
Englisch

Erschienen in
Series: CESifo Working Paper ; No. 7341

Klassifikation
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financial Aspects of Economic Integration
International Financial Markets
Thema
GCC
multivariate GARCH
political tension

Ereignis
Geistige Schöpfung
(wer)
Al-Maadid, Alanoud
Caporale, Guglielmo Maria
Spagnolo, Fabio
Spagnolo, Nicola
Ereignis
Veröffentlichung
(wer)
Center for Economic Studies and ifo Institute (CESifo)
(wo)
Munich
(wann)
2018

Handle
Letzte Aktualisierung
20.09.2024, 08:25 MESZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Original beim Datenpartner anzeigen

Objekttyp

  • Arbeitspapier

Beteiligte

  • Al-Maadid, Alanoud
  • Caporale, Guglielmo Maria
  • Spagnolo, Fabio
  • Spagnolo, Nicola
  • Center for Economic Studies and ifo Institute (CESifo)

Entstanden

  • 2018

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