Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/185539 
Year of Publication: 
2018
Series/Report no.: 
CESifo Working Paper No. 7341
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
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 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.
Subjects: 
GCC
multivariate GARCH
political tension
JEL: 
C32
F36
G15
Document Type: 
Working Paper
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