Effects of the COVID-19 Pandemic and Russia-Ukraine Conflict on Stock Market Volatility in the GCC Countries

Abstract

The primary aim of this study is to analyze the asymmetric impact of both the COVID-19 pandemic and the Russia-Ukraine conflict on the volatility of stock market returns within the Gulf Cooperation Council (GCC) region. Our focus lies in identifying potential hedging and safe haven instruments amidst the
coronavirus outbreak, utilizing the stock indices of Saudi Arabia, Bahrain, Abu Dhabi, Iraq, Kuwait, Oman, and Qatar. Our analysis spans from July 12, 2011, to April 7, 2022, employing both linear and nonlinear Heteroscedastic Conditional Autoregressive (ARCH) models. We have concluded that these stock market indices do not serve as effective instruments during these crises. The implications of our findings extend to investors and policymakers, urging them to explore diversified investment portfolios and implement strategies aimed at upholding investor confidence during turbulent periods.