Using the GARCH-in-mean approach, the study reveals that the banking sector index’s stability varied across different financial crises, demonstrating resilience in 2006, but sensitivity to oil prices and global trends in later crises. This highlights the need for detailed crisis-specific analyses.

The study investigates the effects of Saudi Arabia’s 2015 stock market liberalization, using firms in holy cities as a control group. A difference-in-difference approach reveals that liberalization increased daily stock returns for the first two years. A falsification test of pre-liberalization data supports these findings.