Navigating uncertainty: a study of the S&P GCC composite index’s connectedness during times of crises
Journal of Islamic Accounting and Business Research
ISSN: 1759-0817
Article publication date: 17 June 2024
Issue publication date: 20 November 2024
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
Acknowledgements
Declaration of interests: The authors of this paper declare that they have no conflicts of interest that could have influenced the results or interpretation of the work presented in this paper. This includes any known financial interests or personal relationships that may have appeared to impact the research reported in this paper.
Credit author statement: Muneer M. Alshater: Conceptualization, Methodology, Writing original draft, Review and editing. Rim El Khoury: Investigation, Methodology, Data curation, Data analysis, Writing original draft. Bashar Al-Mansour: Writing-editing original draft, Review and editing.
Citation
Alshater, M.M., El Khoury, R. and Almansour, B. (2024), "Navigating uncertainty: a study of the S&P GCC composite index’s connectedness during times of crises", Journal of Islamic Accounting and Business Research, Vol. 15 No. 8, pp. 1359-1383. https://doi.org/10.1108/JIABR-01-2023-0024
Publisher
:Emerald Publishing Limited
Copyright © 2024, Emerald Publishing Limited