{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,25]],"date-time":"2026-04-25T14:18:21Z","timestamp":1777126701829,"version":"3.51.4"},"reference-count":39,"publisher":"Springer Science and Business Media LLC","issue":"1-2","license":[{"start":{"date-parts":[[2021,5,3]],"date-time":"2021-05-03T00:00:00Z","timestamp":1620000000000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0"},{"start":{"date-parts":[[2021,5,3]],"date-time":"2021-05-03T00:00:00Z","timestamp":1620000000000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Ann Oper Res"],"published-print":{"date-parts":[[2021,10]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>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.<\/jats:p>","DOI":"10.1007\/s10479-021-04081-5","type":"journal-article","created":{"date-parts":[[2021,5,3]],"date-time":"2021-05-03T19:52:31Z","timestamp":1620071551000},"page":"1-22","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":114,"title":["Volatility transmission and spillover dynamics across financial markets: the role of geopolitical risk"],"prefix":"10.1007","volume":"305","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-7506-5963","authenticated-orcid":false,"given":"Ahmed H.","family":"Elsayed","sequence":"first","affiliation":[]},{"ORCID":"https:\/\/orcid.org\/0000-0003-0907-7939","authenticated-orcid":false,"given":"Mohamad Husam","family":"Helmi","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2021,5,3]]},"reference":[{"key":"4081_CR2","doi-asserted-by":"crossref","unstructured":"Al-Maadid, A., Caporale, GM., Spagnolo, F. and Spagnolo, N. 2019. Political Tension and Stock Markets in the Arabian Peninsula. International Journal of Finance and Economics. ISSN: 1076\u20139307","DOI":"10.2139\/ssrn.3338668"},{"key":"4081_CR1","doi-asserted-by":"publisher","first-page":"471","DOI":"10.1016\/0378-4266(91)90081-V","volume":"15","author":"P Alexakis","year":"1991","unstructured":"Alexakis, P., & Petrakis, P. (1991). Analysing stock market behaviour in a small capital market. Journal of Banking and Finance, 15, 471\u2013483","journal-title":"Journal of Banking and Finance"},{"key":"4081_CR3","doi-asserted-by":"publisher","first-page":"239","DOI":"10.1016\/j.eap.2020.09.017","volume":"68","author":"A Alqahtani","year":"2020","unstructured":"Alqahtani, A., Bouri, E., & Vo, X. V. (2020). Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns. Economic Analysis and Policy, 68, 239\u2013249","journal-title":"Economic Analysis and Policy"},{"key":"4081_CR4","doi-asserted-by":"publisher","first-page":"165","DOI":"10.1016\/j.frl.2017.07.017","volume":"23","author":"N Antonakakis","year":"2017","unstructured":"Antonakakis, N., Gupta, R., Kollias, C., & Papadamou, S. (2017). Geopolitical risks and the oil-stock nexus over 1899\u20132016. Finance Research Letters, 23, 165\u2013173","journal-title":"Finance Research Letters"},{"issue":"6","key":"4081_CR5","first-page":"684","volume":"29","author":"N Apergis","year":"2018","unstructured":"Apergis, N., Bonato, M., Gupta, R., & Kyei, C. (2018). Does geopolitical risks predict stock returns and volatility of leading defense companies? Evidence from a nonparametric approach. Defence and Peace Economics, 29(6), 684\u2013696","journal-title":"Defence and Peace Economics"},{"issue":"2","key":"4081_CR6","doi-asserted-by":"publisher","first-page":"295","DOI":"10.1016\/j.ecosys.2017.05.008","volume":"42","author":"M Balcilar","year":"2018","unstructured":"Balcilar, M., Bonato, M., Demirer, R., & Gupta, R. (2018). Geopolitical risks and stock market dynamics of the BRICS. Economic Systems, 42(2), 295\u2013306","journal-title":"Economic Systems"},{"issue":"8","key":"4081_CR7","doi-asserted-by":"publisher","first-page":"1841","DOI":"10.1080\/1540496X.2018.1507906","volume":"55","author":"C Bouras","year":"2019","unstructured":"Bouras, C., Christou, C., Gupta, R., & Suleman, T. (2019). Geopolitical Risks, Returns, and Volatility in Emerging Stock Markets: Evidence from a Panel GARCH Model. Emerging Markets Finance and Trade, 55(8), 1841\u20131856","journal-title":"Emerging Markets Finance and Trade"},{"issue":"2","key":"4081_CR8","doi-asserted-by":"publisher","first-page":"317","DOI":"10.1108\/JES-02-2012-0020","volume":"41","author":"EI Bouri","year":"2014","unstructured":"Bouri, E. I., & Yahchouchi, G. (2014). Do return and volatility traverse the Middle Eastern and North African (MENA) stock markets borders? Journal of Economic Studies, 41(2), 317\u2013344","journal-title":"Journal of Economic Studies"},{"key":"4081_CR9","doi-asserted-by":"crossref","unstructured":"Caldara, D., & Iacoviello, M., 2018.\u00a0Measuring Geopolitical Risk\u00a0(No. 1222). Board of Governors of the Federal Reserve System (US).","DOI":"10.17016\/IFDP.2018.1222"},{"key":"4081_CR10","doi-asserted-by":"publisher","first-page":"537","DOI":"10.1093\/jjfinec\/nbl005","volume":"4","author":"L Cappiello","year":"2006","unstructured":"Cappiello, L., Engle, R. F., & Sheppard, K. (2006). Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. Journal of Financial Econometrics, 4, 537\u2013572","journal-title":"Journal of Financial Econometrics"},{"key":"4081_CR11","doi-asserted-by":"publisher","first-page":"259","DOI":"10.1016\/0927-538X(96)00014-5","volume":"4","author":"Y Chan","year":"1996","unstructured":"Chan, Y., & Wei, K. C. J. (1996). Political risk and stock price volatility: the case of Hong Kong. Pacific-Basin Finance Journal, 4, 259\u2013275","journal-title":"Pacific-Basin Finance Journal"},{"key":"4081_CR12","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1016\/j.intfin.2013.10.008","volume":"28","author":"F Chau","year":"2014","unstructured":"Chau, F., Deesomsak, R., & Wang, J. (2014). Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries. Journal of International Financial Markets, Institutions and Money, 28, 1\u201319","journal-title":"Journal of International Financial Markets, Institutions and Money"},{"issue":"2","key":"4081_CR13","doi-asserted-by":"publisher","first-page":"253","DOI":"10.1016\/j.jbankfin.2010.07.026","volume":"35","author":"M Chesney","year":"2011","unstructured":"Chesney, M., Reshetarb, G., & Karamana, M. (2011). The impact of terrorism on financial markets: an empirical study. Journal of Banking and Finance, 35(2), 253\u2013267","journal-title":"Journal of Banking and Finance"},{"key":"4081_CR14","doi-asserted-by":"publisher","first-page":"193","DOI":"10.1016\/j.frl.2018.03.001","volume":"27","author":"DS Damianov","year":"2018","unstructured":"Damianov, D. S., & Elsayed, A. H. (2018). On the transmission of spillover risks between the housing market, the mortgage and equity REITs markets, and the stock market. Finance Research Letters, 27, 193\u2013200","journal-title":"Finance Research Letters"},{"issue":"534","key":"4081_CR15","doi-asserted-by":"publisher","first-page":"158","DOI":"10.1111\/j.1468-0297.2008.02208.x","volume":"119","author":"FX Diebold","year":"2009","unstructured":"Diebold, F. X., & Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, 119(534), 158\u2013171","journal-title":"The Economic Journal"},{"issue":"1","key":"4081_CR16","doi-asserted-by":"publisher","first-page":"57","DOI":"10.1016\/j.ijforecast.2011.02.006","volume":"28","author":"FX Diebold","year":"2012","unstructured":"Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57\u201366","journal-title":"International Journal of Forecasting"},{"key":"4081_CR17","doi-asserted-by":"publisher","first-page":"119","DOI":"10.1016\/j.jeconom.2014.04.012","volume":"182","author":"FX Diebold","year":"2014","unstructured":"Diebold, F. X., & Yilmaz, K. (2014). On the network topology of variance decompositions: Measuring the connectedness of financial firms. Journal of Econometrics, 182, 119\u2013134","journal-title":"Journal of Econometrics"},{"key":"4081_CR18","first-page":"81","volume":"14","author":"FX Diebold","year":"2015","unstructured":"Diebold, F. X., & Yilmaz, K. (2015). Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004\u20132014. Journal of Financial Econometrics, 14, 81\u2013127","journal-title":"Journal of Financial Econometrics"},{"key":"4081_CR19","doi-asserted-by":"publisher","first-page":"102056","DOI":"10.1016\/j.resourpol.2021.102056","volume":"72","author":"E Dogan","year":"2021","unstructured":"Dogan, E., Majeed, M. T., & Luni, T. (2021). Analyzing the impacts of geopolitical risk and economic uncertainty on natural resources rents. Resources Policy, 72, 102056","journal-title":"Resources Policy"},{"key":"4081_CR20","doi-asserted-by":"publisher","first-page":"20","DOI":"10.1016\/j.intfin.2019.05.004","volume":"62","author":"AH Elsayed","year":"2019","unstructured":"Elsayed, A. H., & Yarovaya, L. (2019). Financial stress dynamics in the MENA region: Evidence from the Arab Spring. Journal of International Financial Markets, Institutions and Money, 62, 20\u201334","journal-title":"Journal of International Financial Markets, Institutions and Money"},{"key":"4081_CR21","doi-asserted-by":"publisher","first-page":"339","DOI":"10.1198\/073500102288618487","volume":"20","author":"R Engle","year":"2002","unstructured":"Engle, R. (2002). Dynamic Conditional Correlation. Journal of Business & Economic Statistics, 20, 339\u2013350","journal-title":"Journal of Business & Economic Statistics"},{"key":"4081_CR22","doi-asserted-by":"publisher","first-page":"2223","DOI":"10.1111\/0022-1082.00494","volume":"57","author":"K Forbes","year":"2002","unstructured":"Forbes, K., & Rigobon, R. (2002). No contagion, only interdependence: Measuring stock market comovements. Journal of Finance, 57, 2223\u20132261","journal-title":"Journal of Finance"},{"key":"4081_CR23","doi-asserted-by":"crossref","unstructured":"Gilpin, R. and Gilpin, J.M., 2001. Global political economy: Understanding the international economic order. Princeton University Press.","DOI":"10.1515\/9781400831272"},{"issue":"1","key":"4081_CR24","doi-asserted-by":"publisher","first-page":"102","DOI":"10.1162\/rest.2009.12023","volume":"92","author":"R Glick","year":"2010","unstructured":"Glick, R., & Taylor, A. M. (2010). Collateral damage: Trade disruption and the economic impact of war. The Review of Economics and Statistics, 92(1), 102\u2013127","journal-title":"The Review of Economics and Statistics"},{"key":"4081_CR25","doi-asserted-by":"publisher","first-page":"1779","DOI":"10.1111\/j.1540-6261.1993.tb05128.x","volume":"48","author":"LR Glosten","year":"1993","unstructured":"Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The journal of finance, 48, 1779\u20131801","journal-title":"The journal of finance"},{"key":"4081_CR26","doi-asserted-by":"publisher","first-page":"430","DOI":"10.1016\/j.ribaf.2018.05.002","volume":"46","author":"G Gozgor","year":"2018","unstructured":"Gozgor, G. (2018). Determinants of the domestic credits in developing economies: The role of political risks. Research in International Business and Finance, 46, 430\u2013443","journal-title":"Research in International Business and Finance"},{"issue":"3","key":"4081_CR27","doi-asserted-by":"publisher","first-page":"197","DOI":"10.1016\/j.bir.2020.05.001","volume":"20","author":"ME Hoque","year":"2020","unstructured":"Hoque, M. E., & Zaidi, M. A. S. (2020). Global and country-specific geopolitical risk uncertainty and stock return of fragile emerging economies. Borsa Istanbul Review, 20(3), 197\u2013213","journal-title":"Borsa Istanbul Review"},{"key":"4081_CR28","doi-asserted-by":"publisher","first-page":"21","DOI":"10.1016\/j.irfa.2014.05.001","volume":"34","author":"D Kenourgios","year":"2014","unstructured":"Kenourgios, D. (2014). On financial contagion and implied market volatility. International Review of Financial Analysis, 34, 21\u201330","journal-title":"International Review of Financial Analysis"},{"issue":"1","key":"4081_CR29","doi-asserted-by":"publisher","first-page":"119","DOI":"10.1016\/0304-4076(95)01753-4","volume":"74","author":"G Koop","year":"1996","unstructured":"Koop, G., Pesaran, M. H., & Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of econometrics, 74(1), 119\u2013147","journal-title":"Journal of econometrics"},{"issue":"2","key":"4081_CR30","doi-asserted-by":"publisher","first-page":"286","DOI":"10.1016\/j.jfineco.2017.05.011","volume":"125","author":"LX Liu","year":"2017","unstructured":"Liu, L. X., Shu, H., & Wei, K. J. (2017). The impacts of political uncertainty on asset prices: Evidence from the Bo scandal in China. Journal of financial economics, 125(2), 286\u2013310","journal-title":"Journal of financial economics"},{"key":"4081_CR31","doi-asserted-by":"publisher","first-page":"123","DOI":"10.1016\/j.qref.2014.08.005","volume":"56","author":"AI Maghyereh","year":"2015","unstructured":"Maghyereh, A. I., Awartani, B., & Hilu, K. A. (2015). Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis. The Quarterly Review of Economics and Finance, 56, 123\u2013138","journal-title":"The Quarterly Review of Economics and Finance"},{"key":"4081_CR32","doi-asserted-by":"publisher","first-page":"14","DOI":"10.1016\/j.ememar.2016.03.002","volume":"27","author":"S Neaime","year":"2016","unstructured":"Neaime, S. (2016). Financial crises and contagion vulnerability of MENA stock markets. Emerging Markets Review, 27, 14\u201335","journal-title":"Emerging Markets Review"},{"key":"4081_CR33","first-page":"42","volume":"2012","author":"A O\u2019Sullivan","year":"2011","unstructured":"O\u2019Sullivan, A., Rey, M. E., & Mendez, J. G. (2011). Opportunities and Challenges in the MENA Region. Arab world competitiveness report, 2012, 42\u201367","journal-title":"Arab world competitiveness report"},{"issue":"3","key":"4081_CR34","doi-asserted-by":"publisher","first-page":"520","DOI":"10.1016\/j.jfineco.2013.08.007","volume":"110","author":"\u013d P\u00e1stor","year":"2013","unstructured":"P\u00e1stor, \u013d, & Veronesi, P. (2013). Political uncertainty and risk premia. Journal of Financial Economics, 110(3), 520\u2013545","journal-title":"Journal of Financial Economics"},{"issue":"1","key":"4081_CR35","doi-asserted-by":"publisher","first-page":"43","DOI":"10.1016\/S0261-5606(00)00032-2","volume":"20","author":"EC Perotti","year":"2001","unstructured":"Perotti, E. C., & Oijen, P. V. (2001). Privatization, political risk and stock market development in emerging economies. Journal of International Money and Finance, 20(1), 43\u201369","journal-title":"Journal of International Money and Finance"},{"issue":"1","key":"4081_CR36","doi-asserted-by":"publisher","first-page":"17","DOI":"10.1016\/S0165-1765(97)00214-0","volume":"58","author":"HH Pesaran","year":"1998","unstructured":"Pesaran, H. H., & Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics letters, 58(1), 17\u201322","journal-title":"Economics letters"},{"key":"4081_CR37","doi-asserted-by":"publisher","first-page":"358","DOI":"10.1016\/j.qref.2021.03.008","volume":"80","author":"LA Smales","year":"2021","unstructured":"Smales, L. A. (2021). Geopolitical risk and volatility spillovers in oil and stock markets. The Quarterly Review of Economics and Finance, 80, 358\u2013366","journal-title":"The Quarterly Review of Economics and Finance"},{"issue":"1","key":"4081_CR38","doi-asserted-by":"publisher","first-page":"93","DOI":"10.7441\/joc.2020.01.06","volume":"12","author":"L Zhou","year":"2020","unstructured":"Zhou, L., Gozgor, G., Huang, M., & Lau, M. C. K. (2020a). The Impact of Geopolitical Risks on Financial Development: Evidence from Emerging Markets. Journal of Competitiveness, 12(1), 93","journal-title":"Journal of Competitiveness"},{"key":"4081_CR39","doi-asserted-by":"publisher","first-page":"101784","DOI":"10.1016\/j.resourpol.2020.101784","volume":"68","author":"MJ Zhou","year":"2020","unstructured":"Zhou, M. J., Huang, J. B., & Chen, J. Y. (2020b). The effects of geopolitical risks on the stock dynamics of China\u2019s rare metals: A TVP-VAR analysis. Resources Policy, 68, 101784","journal-title":"Resources Policy"}],"container-title":["Annals of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-021-04081-5.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/article\/10.1007\/s10479-021-04081-5\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-021-04081-5.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2022,12,26]],"date-time":"2022-12-26T07:46:09Z","timestamp":1672040769000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/s10479-021-04081-5"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2021,5,3]]},"references-count":39,"journal-issue":{"issue":"1-2","published-print":{"date-parts":[[2021,10]]}},"alternative-id":["4081"],"URL":"https:\/\/doi.org\/10.1007\/s10479-021-04081-5","relation":{},"ISSN":["0254-5330","1572-9338"],"issn-type":[{"value":"0254-5330","type":"print"},{"value":"1572-9338","type":"electronic"}],"subject":[],"published":{"date-parts":[[2021,5,3]]},"assertion":[{"value":"15 April 2021","order":1,"name":"accepted","label":"Accepted","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"3 May 2021","order":2,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}}]}}