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

Author

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  • Muneer M. Alshater
  • Rim El Khoury
  • Bashar Almansour

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.

Suggested Citation

  • Muneer M. Alshater & Rim El Khoury & Bashar Almansour, 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, Emerald Group Publishing Limited, vol. 15(8), pages 1359-1383, June.
    • Handle: RePEc:eme:jiabrp:jiabr-01-2023-0024
    DOI: 10.1108/JIABR-01-2023-0024
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    JEL classification:

    • B26 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Financial Economics
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • F3 - International Economics - - International Finance
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G1 - Financial Economics - - General Financial Markets
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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