Assessing Conditional Volatility of Middle Eastern Stock Markets: Evidence from Israel-Palestine War

Abstract

The Research study examines the conditional volatility of Middle Eastern stock markets, specially focusing on Syria, Lebanon, Jordan, Egypt, Saudi Arabia, and Palestine, in the context of Israel-Palestine war. The Israel Palestine war that initiate on 07 October 2023 have cause serious repercussions on political and stock market region.  DCC GARCH methodology is used to assess the volatility on the selected stock markets like Syria, Lebanon, Iran, Jordan, Egypt, Saudi Arabia and Palestine. The findings indicate, data is stationary for all series as p-value is zero for all stock market indices and rejects null hypothesis. The beta value for all series determines strong volatility factor, if factor of volatility increases it takes time to settle in normal way. The objective of research study is to assess the mean and volatility spillover exists due to Israel Palestine war on these selected stock markets.