Inter- and intra-connectedness between energy, gold, Bitcoin, and Gulf cooperation council stock markets: New evidence from various financial crises

Ijaz Younis, Muhammad Abubakr Naeem, Waheed Ullah Shah and Xuan Tang

Research in International Business and Finance, 2025, vol. 73, issue PA

Abstract: This study analyzes the inter-dependence of the oil, gold, Bitcoin (BTC), and Gulf Cooperation Council stock markets during the recent Russia–Ukraine and Israel–Palestine conflicts. The study found that these markets were less inter-connected during oil battles and the Russia–Ukraine conflict but more inter-connected during the COVID-19 crisis. Findings indicated that Oman, Kuwait, gold, and Qatar are the most significant spillover receivers, whereas the United Arab Emirates (UAE), Kingdom of Saudi Arabia, and West Texas Intermediate are the primary risk spillover transmitters in the Israel–Palestine conflict. Additionally, BTC and the UAE are significant transmitters, whereas Kuwait and Qatar are the highest-risk spillover receivers in the Russia–Ukraine war. Portfolio estimates revealed that gold, BTC, and/or oil are useful in various equity markets for portfolio diversification and hedging under different market conditions and time horizons. These data can guide managers in portfolio construction and risk diversification.

Keywords: Oil; Gold; BTC; GCC; Wavelet TVP-VAR; Portfolio strategies (search for similar items in EconPapers)
JEL-codes: E44 F36 G01 Q43 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003416

DOI: 10.1016/j.ribaf.2024.102548

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