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.