What the study found
UAE-specific crises were associated with persistent negative cumulative irregular returns, while global crises often produced positive cumulative irregular returns for UAE firms. The study also found that smaller, low-debt value firms showed the strongest positive responses, especially during global economic and energy events.
Why the authors say this matters
The authors conclude that the findings show how crises are transmitted in an emerging market with changing depth and liquidity. They also say the results have practical relevance for portfolio construction during crises and for policy support aimed at firms that appear more vulnerable to local shocks.
What the researchers tested
The researchers examined 61 potentially impactful global and UAE-specific events across crypto, economic, energy, environmental, geopolitical, and health categories. They decomposed daily firm returns using STL, which means Seasonal and Trend decomposition using Loess, to isolate an irregular component, then calculated cumulative irregular returns in multiple event windows and tested significance with Welch confidence intervals.
What worked and what didn't
The approach identified clear asymmetries between local and global shocks. Smaller, low-debt value firms showed the most pronounced positive responses, while the study reports that highly leveraged and high-valuation firms were more vulnerable to local shocks. Robustness checks included cumulative abnormal returns, pseudo-event falsification tests, and sensitivity to window lengths.
What to keep in mind
The authors note that clustered events were kept to reflect the real sequence of shocks, but overlapping windows may blur attribution. They also examined STL choices and market-model alternatives, yet say residual model risk remains. The available summary does not describe any other limitations.
Key points
- UAE-specific crises were linked to persistent negative cumulative irregular returns.
- Global crises often produced positive cumulative irregular returns for UAE firms.
- Smaller, low-debt value firms showed the strongest positive responses, especially in global economic and energy events.
- The study used 61 events across crypto, economic, energy, environmental, geopolitical, and health categories.
- Robustness checks included cumulative abnormal returns, pseudo-event tests, and sensitivity to event-window length.
Disclosure
- Research title:
- UAE-specific crises produced negative firm returns; global crises often positive
- Authors:
- Efstathios Polyzos
- Institutions:
- Zayed University
- Publication date:
- 2026-02-27
- OpenAlex record:
- View
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