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The paper aims to explore the impact of geopolitical risk (GPR) on volatility dynamics in the Middle East and North Africa (MENA) states following the conflict between Ukraine and Russia (started in February 2022) and Israel and Hamas (started in October 2023). Fourteen states were analyzed between 01 January 2022 and 31 December 2023 using exponential general autoregressive conditional heteroskedastic (EGARCH) and vector autoregression (VAR). We find that GPR influenced the MENA markets slightly, and only Iraq reacted significantly to the Ukraine conflict. We also observed a clustering tendency of stock markets in the analyzed area and a slight influence in a few MENA states during the Israel–Hamas conflict. The MENA countries’ regulators and politicians, tasked with overseeing macro and micro rules based on a holistic approach that leaves no one behind, will find valuable information in this study. Because it demonstrates how quickly the stock markets respond to ongoing conflicts, this study also provides important insights to investors, managers, policymakers, and society at large.
Panazan et al. (Thu,) studied this question.