Author:
ELSHAREIF ELGILANI,KABIR MUHAMMED,CONTU DAVIDE,MUJAHED MURAD
Abstract
COVID-19 has been impacting stock markets worldwide. Yet, a scant amount of research
has been done on the stock markets of the Gulf Cooperation Council (GCC) markets. In this work, we aim to investigate whether and to what extent local and international events linked to the COVID-19 outbreak have impacted stock market volatility of the GCC countries. We model stocks’ returns of these countries between January and December 2020, decomposing the errors’ heteroskedasticity to account for main international and local events related to COVID-19. These events have been included as structural breaks and measured using dichotomous variables. Both local and international events were found to be associated with significant variations in volatility; however, local events seem to have impacted volatility to a lesser extent compared to international events. The announcement of the status of pandemic by the WHO had the greatest impact on volatility across the GCC markets, even greater than the impact associated to the drop in oil prices. The announcement of local approval of vaccine led to a reduction in volatility in UAE (ADX), Qatar, Saudi Arabia and Bahrain.
Publisher
Universiti Putra Malaysia
Subject
Strategy and Management,General Economics, Econometrics and Finance,Business and International Management
Cited by
1 articles.
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