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

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.