Purpose

The findings would help in designing useful and relevant hedging strategies against geopolitical risks (GPRs), which are rampant in the Gulf Cooperation Council (GCC) region.

Design/methodology/approach

This study focuses on the regional and global costs of GPRs for businesses in the Gulf region.

Findings

The results of the analysis show that the time-varying conditional correlation between the stock returns of the GCC countries and the Saudi Arabian geopolitical risk is consistently negative, suggesting that the Saudi Arabian geopolitical risk hurts the GCC stock markets, thus underscoring the importance of studying regional GPRs.

Originality/value

The contribution of this paper is twofold: First, it uses a newly geopolitical risk index that includes recent geopolitical events not included in the Caldara and Iacoviello (2018) index. In addition to war threats and acts, terrorist threats and acts and nuclear threats, the authors consider global trade tensions (GTTs), Saudi Arabia's geopolitical risk and OPEC news mainly related to OPEC oil production levels. Second, it assesses whether Saudi Arabia, which is the largest economy in the region and the main global oil exporter, is really a risk exporter to the rest of the GCC countries.

中文翻译：

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海合会地区不同地缘政治风险来源与股票市场的关系：动态相关性分析

目的

研究结果将有助于针对在海湾合作委员会 (GCC) 地区猖獗的地缘政治风险 (GPR) 设计有用且相关的对冲策略。

设计/方法/方法

本研究侧重于海湾地区企业的 GPR 的区域和全球成本。

发现

分析结果表明，海合会国家股票收益与沙特阿拉伯地缘政治风险之间的时变条件相关性始终为负，表明沙特阿拉伯地缘政治风险对海合会股票市场造成伤害，因此强调了研究的重要性。区域 GPR。

原创性/价值

本文的贡献是双重的：首先，它使用了一个新的地缘政治风险指数，其中包括 Caldara 和 Iacoviello (2018) 指数中未包含的近期地缘政治事件。除了战争威胁和行为、恐怖主义威胁和行为以及核威胁之外，作者还考虑了全球贸易紧张局势 (GTT)、沙特阿拉伯的地缘政治风险以及主要与欧佩克石油产量水平相关的欧佩克新闻。其次，它评估了沙特阿拉伯作为该地区最大的经济体和全球主要石油出口国，是否真的是海合会其他国家的风险出口国。