This paper examines the effect of geopolitical risk (GPR) on return and volatility dynamics in Middle East and North African (MENA) countries by using an ADCC-GARCH model and a spillover approach. Unlike previous studies, we include the GPR index to capture risk associated with wars, terrorist acts, and political tensions. Moreover, we test for both static and dynamic analysis using a rolling window. In brief, the findings highlight that GPR does not contribute to the return spillovers among MENA financial markets. However, the dynamic analysis provides evidence of the high level of responsiveness of the total spillover index to major political events (e.g., the Arab Spring uprising and political tension between Qatar and other Gulf Cooperation Council countries). More interestingly, Qatar, Kingdom of Saudi Arabia, and the United Arab Emirates are identified as the main transmitters of return spillovers to the rest of the MENA markets. Overall, our results are essential in understanding the impact of the GPR on return spillover among MENA countries, and are of particular importance to policymakers, market regulators, portfolio managers and investors.

本文使用ADCC-GARCH模型和溢出方法，研究了地缘政治风险（GPR）对中东和北非（MENA）国家收益率和波动率动态的影响。与以前的研究不同，我们将GPR指数包括在内以捕获与战争，恐怖行为和政治紧张局势相关的风险。此外，我们使用滚动窗口测试静态和动态分析。简而言之，调查结果突出表明，GPR并没有促进中东和北非金融市场之间的收益溢出。但是，动态分析提供了总溢出指数对重大政治事件（例如，阿拉伯之春起义和卡塔尔与海湾合作委员会其他国家之间的政治紧张局势）的高度响应的证据。更有趣的是，沙特阿拉伯王国卡塔尔 阿拉伯联合酋长国和阿拉伯联合酋长国被认为是向其他中东和北非市场回报回流的主要传播者。总体而言，我们的结果对于理解GPR对中东和北非国家之间回报溢出的影响至关重要，对决策者，市场监管者，投资组合经理和投资者尤为重要。