Al-Maadid, Alanoud Caporale, Guglielmo Maria Spagnolo, Fabio Spagnolo, Nicola
Year of Publication:
CESifo Working Paper 7341
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.