Cross-listed share volatility of multinational enterprises: insights from stock exchanges in the Middle East

Purpose: The purpose of this paper is to analyze the volatility of stock returns for cross-listed multinational enterprises (MNEs) on major stock exchanges within the Middle East and Gulf Cooperation Council (GCC) region. Design/methodology/approach: This paper uses the generalized autoregressive conditional heteroscedasticity (GARCH) model, a variant of the autoregressive conditional heteroscedasticity (ARCH) framework, to analyze the volatility of stock returns for the cross-listed shares of three MNEs on six GCC stock exchanges. Findings: Given the geopolitical and cultural proximity of these markets, one might intuitively expect the volatility of cross-listed stock returns to exhibit similar patterns. However, the results reveal contrasting evidence. Despite the close-knit relationships among GCC countries, significant divergences in stock return volatility exist across these exchanges. Practical implications: This divergence in evidence raises important questions regarding the underlying causes and their implications for investors and policymakers, warranting a detailed investigation. Originality/value: The distinctive results not only question prevailing assumptions but also fill a critical gap in understanding the dynamics of cross-listed shares of MNEs in these markets.