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Global risk transmission in GCC markets

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  • Chinmaya Narayany S.

  • Asgar Ali

  • Faisal Nazir Zargar

Abstract

This study analyses the transmission of global risk across global markets (MSCI US, Brent crude oil, and MSCI Gold) and the Gulf Cooperation Council (GCC) region from January 2009 to November 2024. The study uses a dual econometric framework: first, calculating extreme downside risk with a DCC-GARCH model, and then capturing the direction and magnitude of risk spillovers with a TVP-VAR model. The analysis helps determine how the relationships between these indices evolve during periods of global financial crises and uncertainty. Results show that GCC markets are highly vulnerable to external shocks and predominantly net recipients of risk. The US market emerges as the strongest net transmitter of volatility, especially during periods of crisis. Brent crude oil serves as both a transmitter and a receiver of risk, while gold serves as a shock absorber and remains a safe-haven asset. Robustness checks using alternate specifications confirm the reliability of these findings.

Suggested Citation

  • Chinmaya Narayany S. & Asgar Ali & Faisal Nazir Zargar, 2026. "Global risk transmission in GCC markets," International Journal of Accounting, Business and Finance, Indian Accounting Association, Patna Branch, vol. 4(2), pages 78-98.
    • Handle: RePEc:dbs:ijabfi:v:4:y:2026:i:2:p:78-98:id:268
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