Quantitative Analysis of Stock Market Volatility in GCC Economies: A Formal Statistical-Approach

Bayan Albahooth

Received: 2025-03-27, Published: 2025-03-28

Licence

This is an open-access article distributed under the terms of the Creative Commons Attribution-Non Commercial-Share Alike 4.0 License, which allows others to remix, transform, and build upon the work non-commercially, as long as the author is credited and the new creations are licensed under the identical terms.

Disclaimer:
This article was originally published by Qassim University and was migrated to Scientific Scholar after the change of Publisher.

Abstract

Stock market volatility is a key factor in economic stability, especially in emerging and oil-dependent economies like those of the Gulf Cooperation Council (GCC). This study investigates the volatility patterns in the GCC stock markets—Saudi Arabia, UAE, Oman, Qatar, and Bahrain—using data from January 2010 to December 2020. Employing advanced quantitative methods such as volatility modeling and time series analysis, the study explores the relationship between economic indicators, geopolitical events, and global market trends in influencing market volatility. The primary objectives are to identify the drivers of instability, detect underlying volatility patterns, and assess their significance over time. ARCH/GARCH models are used to examine the persistence and clustering of volatility, while also analyzing market dynamics in the context of external shocks and structural breaks. Key findings show that higher GDP growth correlates with reduced volatility, whereas inflation and geopolitical tensions increase market fluctuations. The study offers essential insights for investors, policymakers, and financial institutions in the GCC to better understand market behavior, manage risk, and promote financial stability.