What question did this study set out to answer?

To examine dynamic co-movements and return spillovers between GCC stock indices and global commodities (natural gas, wheat, gold, and Bitcoin) across periods marked by health and political shocks.

October 8, 2024International Journal of Islamic and Middle Eastern Finance and Management

Co-movements and spillovers in GCC financial and commodity markets during turbulent periods: a quantile VAR connectedness approach

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To examine dynamic co-movements and return spillovers between GCC stock indices and global commodities (natural gas, wheat, gold, and Bitcoin) across periods marked by health and political shocks.
Analyzed return series from GCC stock indices, natural gas, wheat, gold, and Bitcoin spanning January 1, 2016, to May 1, 2024.
Applied a quantile-based vector autoregression (quantile VAR) connectedness approach to estimate shock transmission across normal and extreme market distributions.
Market connectedness varied over time and strengthened significantly during the COVID-19 pandemic and the Russia–Ukraine war.
Information transmission and shock propagation intensified under extreme quantile conditions relative to tranquil periods.
Cross-market spillover patterns were event-dependent, exhibiting distinct transmission dynamics across different crisis types.

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Implication

Time-series analysis uncovers elevated asset connectedness between GCC stocks and commodities during crises, highlighting intensified shock transmission under extreme market conditions.

Cite This Study

Alnafisah et al. (2024) studied this question.

synapsesocial.com/papers/6a768e739d809400dabd35de https://doi.org/10.1108/imefm-02-2024-0083

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Implication

Time-series analysis uncovers elevated asset connectedness between GCC stocks and commodities during crises, highlighting intensified shock transmission under extreme market conditions.

Co-movements and spillovers in GCC financial and commodity markets during turbulent periods: a quantile VAR connectedness approach

Key Points

Discussion

Implication

Cite This Study

Co-movements and spillovers in GCC financial and commodity markets during turbulent periods: a quantile VAR connectedness approach

Key Points

Discussion

Implication

Cite This Study

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