Navigating uncertainty: a study of the S&P GCC composite index’s connectedness during times of crises

Muneer Alshater (), Rim El Khoury and Bashar Almansour

Journal of Islamic Accounting and Business Research, 2024, vol. 15, issue 8, 1359-1383

Abstract: Purpose - This study aims to investigate the dynamics of return connectedness of the Standard & Poor’s (S&P) Gulf Cooperation Council (GCC) composite index with five regional equity indices, three global equity indices and other different asset classes during the COVID-19 pandemic period. Design/methodology/approach - This study uses daily data spanning from January 2, 2018, to December 23, 2021. A subsample analysis is conducted to determine the role of uncertainty in modifying the connectedness structure during the ongoing pandemic period. Findings - The results of this study show that the nature of connectedness is time-frequent, with clear evidence for a higher level of connectedness during stress periods, especially after the onset of the pandemic. The GCC index is found to be a net receiver of shocks to other assets, with an increase in magnitude during the COVID period. Research limitations/implications - This study is limited by the use of only daily data, and future research could consider using higher frequency data. Practical implications - The results of this study confirm the disturbing effects of the pandemic on the GCC index and its connectedness with other assets, which matters for policymakers and investors. Originality/value - This study provides new insights into the dynamics of return connectedness of the GCC index with other assets during the COVID-19 pandemic period, which has not been previously explored.

Keywords: GCC; COVID-19; Dynamic connectedness; Financial contagion; TVP-VAR; B26; C58; D53; F3; F36; G1; G15 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jiabrp:jiabr-01-2023-0024

DOI: 10.1108/JIABR-01-2023-0024

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