The emergence of the COVID-19 pandemic has caused financial markets to suffer historic losses during the first quarter of 2020, at levels unseen since the crisis of the futures markets in 1987. The pandemic affected global markets parallel to a simultaneous shock from the oil price war between Saudi Arabia and Russia. As the global health crisis worsened, governments worldwide were forced to take measures that led to economic lockdowns and significant economic disruptions. This research paper examines the extent to which the dual shock impacted the GCC economies due to the critical implications for the Gulf region because of its heavy reliance on oil. The core findings show that the dual shock caused significant disruption in the GCC stock exchanges, except for the case of Bahrain's stock market, which emerged as relatively stable.

Global stock markets experienced a dual shock in 2020 due to the impact of the global health crisis, parallel to a simultaneous shock derived from the Saudi Arabia and Russia oil price war. The dual shock fueled oil market volatility with lasting effects as the global economy is immersed in an energy crisis combined with high inflationary pressures exacerbated by heightened energy costs. This research paper implemented GARCH and FIGARCH models on daily returns from 31 December 2015, to 9 December 2021, to examine volatility persistence and long memory processes. The world’s most prominent economies are represented by the G7, E7 and the GCC stock markets. Particular attention was devoted to the case of Kuwait as an example of a small oil-dependent economy. The research findings suggest evidence of volatility persistence across the markets, as reported by the GARCH (1,1) model. The FIGARCH (1,1) did not offer significant evidence of long memory processes except for the cases of FTSE 100, BIST 100, IDEX, BSE 100 and Bahrain.