Context-dependent responses to geopolitical risk in Middle Eastern and African stock markets: An asymmetric volatility spillover study
<p>This paper examines the asymmetric volatility spillover impact of geopolitical risk on stock market returns across six Middle Eastern and African (MEA) economies: Egypt, Israel, Saudi Arabia, Tunisia, Turkey, and South Africa. Using the asymmetric MGARCH (Multivariate GARCH) model of BEKK (...
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2024
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| _version_ | 1864513541630853120 |
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| author | Mohamed Abdelaziz Eissa (22046342) |
| author2 | Hisham Al Refai (17316898) |
| author2_role | author |
| author_facet | Mohamed Abdelaziz Eissa (22046342) Hisham Al Refai (17316898) |
| author_role | author |
| dc.creator.none.fl_str_mv | Mohamed Abdelaziz Eissa (22046342) Hisham Al Refai (17316898) |
| dc.date.none.fl_str_mv | 2024-06-24T12:00:00Z |
| dc.identifier.none.fl_str_mv | 10.1016/j.iref.2024.103402 |
| dc.relation.none.fl_str_mv | https://figshare.com/articles/journal_contribution/Context-dependent_responses_to_geopolitical_risk_in_Middle_Eastern_and_African_stock_markets_An_asymmetric_volatility_spillover_study/29899445 |
| dc.rights.none.fl_str_mv | CC BY 4.0 info:eu-repo/semantics/openAccess |
| dc.subject.none.fl_str_mv | Economics Applied economics Econometrics Geopolitical risk Stock market returns Middle east and africa (MEA) region Asymmetric volatility spillover Asymmetric BEKK GARCH |
| dc.title.none.fl_str_mv | Context-dependent responses to geopolitical risk in Middle Eastern and African stock markets: An asymmetric volatility spillover study |
| dc.type.none.fl_str_mv | Text Journal contribution info:eu-repo/semantics/publishedVersion text contribution to journal |
| description | <p>This paper examines the asymmetric volatility spillover impact of geopolitical risk on stock market returns across six Middle Eastern and African (MEA) economies: Egypt, Israel, Saudi Arabia, Tunisia, Turkey, and South Africa. Using the asymmetric MGARCH (Multivariate GARCH) model of BEKK (Baba, Engle, Kraft, and Kroner), the study identifies different responses to geopolitical risk (GPR) index in these markets and its division into act- and threat-related components. The results show that the susceptibility and responses to these risks are highly context-dependent, reflecting the unique economic and geopolitical structures of each market. Moreover, these economies exhibit an asymmetric response to geopolitical risk, highlighting the importance of not only the magnitude but also the direction of these risks. The study underscores the need for investors to adopt a nuanced view of geopolitical risk and its multifaceted impacts on different markets. These findings hold valuable implications for investment decisions and policy-making in these economies.</p><h2>Other Information</h2> <p> Published in: International Review of Economics & Finance<br> License: <a href="http://creativecommons.org/licenses/by/4.0/" target="_blank">http://creativecommons.org/licenses/by/4.0/</a><br>See article on publisher's website: <a href="https://dx.doi.org/10.1016/j.iref.2024.103402" target="_blank">https://dx.doi.org/10.1016/j.iref.2024.103402</a></p> |
| eu_rights_str_mv | openAccess |
| id | Manara2_43110764b54ca56526da05c59de92774 |
| identifier_str_mv | 10.1016/j.iref.2024.103402 |
| network_acronym_str | Manara2 |
| network_name_str | Manara2 |
| oai_identifier_str | oai:figshare.com:article/29899445 |
| publishDate | 2024 |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| rights_invalid_str_mv | CC BY 4.0 |
| spelling | Context-dependent responses to geopolitical risk in Middle Eastern and African stock markets: An asymmetric volatility spillover studyMohamed Abdelaziz Eissa (22046342)Hisham Al Refai (17316898)EconomicsApplied economicsEconometricsGeopolitical riskStock market returnsMiddle east and africa (MEA) regionAsymmetric volatility spilloverAsymmetric BEKK GARCH<p>This paper examines the asymmetric volatility spillover impact of geopolitical risk on stock market returns across six Middle Eastern and African (MEA) economies: Egypt, Israel, Saudi Arabia, Tunisia, Turkey, and South Africa. Using the asymmetric MGARCH (Multivariate GARCH) model of BEKK (Baba, Engle, Kraft, and Kroner), the study identifies different responses to geopolitical risk (GPR) index in these markets and its division into act- and threat-related components. The results show that the susceptibility and responses to these risks are highly context-dependent, reflecting the unique economic and geopolitical structures of each market. Moreover, these economies exhibit an asymmetric response to geopolitical risk, highlighting the importance of not only the magnitude but also the direction of these risks. The study underscores the need for investors to adopt a nuanced view of geopolitical risk and its multifaceted impacts on different markets. These findings hold valuable implications for investment decisions and policy-making in these economies.</p><h2>Other Information</h2> <p> Published in: International Review of Economics & Finance<br> License: <a href="http://creativecommons.org/licenses/by/4.0/" target="_blank">http://creativecommons.org/licenses/by/4.0/</a><br>See article on publisher's website: <a href="https://dx.doi.org/10.1016/j.iref.2024.103402" target="_blank">https://dx.doi.org/10.1016/j.iref.2024.103402</a></p>2024-06-24T12:00:00ZTextJournal contributioninfo:eu-repo/semantics/publishedVersiontextcontribution to journal10.1016/j.iref.2024.103402https://figshare.com/articles/journal_contribution/Context-dependent_responses_to_geopolitical_risk_in_Middle_Eastern_and_African_stock_markets_An_asymmetric_volatility_spillover_study/29899445CC BY 4.0info:eu-repo/semantics/openAccessoai:figshare.com:article/298994452024-06-24T12:00:00Z |
| spellingShingle | Context-dependent responses to geopolitical risk in Middle Eastern and African stock markets: An asymmetric volatility spillover study Mohamed Abdelaziz Eissa (22046342) Economics Applied economics Econometrics Geopolitical risk Stock market returns Middle east and africa (MEA) region Asymmetric volatility spillover Asymmetric BEKK GARCH |
| status_str | publishedVersion |
| title | Context-dependent responses to geopolitical risk in Middle Eastern and African stock markets: An asymmetric volatility spillover study |
| title_full | Context-dependent responses to geopolitical risk in Middle Eastern and African stock markets: An asymmetric volatility spillover study |
| title_fullStr | Context-dependent responses to geopolitical risk in Middle Eastern and African stock markets: An asymmetric volatility spillover study |
| title_full_unstemmed | Context-dependent responses to geopolitical risk in Middle Eastern and African stock markets: An asymmetric volatility spillover study |
| title_short | Context-dependent responses to geopolitical risk in Middle Eastern and African stock markets: An asymmetric volatility spillover study |
| title_sort | Context-dependent responses to geopolitical risk in Middle Eastern and African stock markets: An asymmetric volatility spillover study |
| topic | Economics Applied economics Econometrics Geopolitical risk Stock market returns Middle east and africa (MEA) region Asymmetric volatility spillover Asymmetric BEKK GARCH |