Search for safe havens and resilience to global financial volatility: Response of GCC equity indexes to GFC and Covid-19

M. Kabir Hassan, Muhammad Kamran, Hadrian Geri Djajadikerta and Tonmoy Choudhury

Pacific-Basin Finance Journal, 2022, vol. 73, issue C

Abstract: The bear Gulf Cooperation Council (GCC) sectoral equity markets in the midst of the COVID-19 pandemic presented us a test case to revisit the previously proclaimed refuge facets of gold and other precious commodities, as well as to find the resilience of these markets to global financial volatility. We further make a comparison of our findings with those obtained for the 2008 Global Financial Crisis (GFC) period. New evidence from our study based on bivariate Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model confirms the potential of gold to serve as a weak safe haven amid both financial crises albeit with higher effectiveness during the early phase of the COVID-19 pandemic. As a whole, silver and crude oil couldn't offer sanctuary for GCC's sectoral equity markets. Further results show that unless hedged, returns of GCC equity markets are vulnerable to volatility and risk in the global financial markets.

Keywords: COVID-19; DCC-GARCH; GCC sectoral equity indexes; GFC; Safe havens; Global financial volatility (search for similar items in EconPapers)
JEL-codes: C32 G01 G11 G15 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:73:y:2022:i:c:s0927538x22000634

DOI: 10.1016/j.pacfin.2022.101768

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