Frequency connectedness between green financial assets and GCC Islamic and conventional stock markets during bear and bull market modes

This study examines the extreme frequency connectedness among Gulf Cooperation Council (GCC) Islamic stock markets, Sukuk, global stock markets, bond markets, and global green assets (Sustainability Index, Green Bond Index, and S&P ESG Index). We use the quantile-frequency connectedness approach by Chatziantoniou et al. (2022) to rely on different market modes (tranquil, bear, and bull market statuses). The results show stronger market interconnection during extreme market conditions compared to stable periods. Spillover effects are more pronounced in bearish market phases than in bullish ones. Short-term connectedness dominates under normal and bearish conditions, while long-term connectedness becomes more significant during bullish phases, especially in times of crisis. GCC equities and bonds contribute to market volatility, while Omani, Qatari, and Saudi Islamic indices, along with green bonds and Sukuk indices, are net volatility recipients, acting as portfolio diversifiers and potential safe havens in bear market states.