Co-movements and spillovers in GCC financial and commodity markets during turbulent periods: a quantile VAR connectedness approach

【Author】 Alnafisah, Hind; Loukil, Sahar; Bejaoui, Azza; Jeribi, Ahmed

【Source】INTERNATIONAL JOURNAL OF ISLAMIC AND MIDDLE EASTERN FINANCE AND MANAGEMENT

【影响因子】2.853

【Abstract】Purpose: This paper aims to analyze the connectedness between the natural gas, wheat, gold, Bitcoin and Gulf Cooperation Council (GCC) stock indices with the advent of exogenous and unexpected shocks related to the health and political crises. Design/methodology/approach: For this end, a quantile-based connectedness method is applied on returns of different assets during the period 01/01/2016-05/01/2024. Findings: The empirical findings display that the existence of time-varying connectedness between markets is well-documented and seems to be stronger during the COVID-19 pandemic and the Russia-Ukraine war. The connectedness is fostered with extreme events, showing that shocks propagate increasingly during turbulent periods compared with calm ones. The connectedness is event-dependent. Practical implications: The empirical results offer insightful information for policymakers and investors about the contagion effect and volatility spillover among GCC stock markets and other asset classes during different crises. Originality/value: This study examines different asset classes' dynamism connection with sock prices in the GCC countries to better apprehend the (dis)similarities between different asset classes in terms of information transmission. It also investigates the connectedness structure among different asset classes under extreme market conditions and how spillover effects across GCC markets and other ones can be time- and event-dependent.

【Keywords】Dynamic connectedness analysis; Russia-Ukraine war; Commodities; GCC stock markets

【发表时间】2024 2024 OCT 10

【收录时间】2024-10-27

【文献类型】实验仿真

【主题类别】

区块链治理-技术治理-市场分析