Title

Search for safe havens and resilience to global financial volatility: Response of GCC equity indexes to GFC and Covid-19

Document Type

Journal Article

Publication Title

Pacific Basin Finance Journal

Volume

73

Publisher

Elsevier

School

School of Business and Law

RAS ID

44341

Comments

Hassan, M. K., Kamran, M., Djajadikerta, H. G., & Choudhury, T. (2022). Search for safe havens and resilience to global financial volatility: Response of GCC equity indexes to GFC and Covid-19. Pacific-Basin Finance Journal, 73, 101768.

https://doi.org/10.1016/j.pacfin.2022.101768

Abstract

The bear Gulf Cooperation Council (GCC) sectoral equity markets in the midst of the COVID-19 pandemic presented us a test case to revisit the previously proclaimed refuge facets of gold and other precious commodities, as well as to find the resilience of these markets to global financial volatility. We further make a comparison of our findings with those obtained for the 2008 Global Financial Crisis (GFC) period. New evidence from our study based on bivariate Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model confirms the potential of gold to serve as a weak safe haven amid both financial crises albeit with higher effectiveness during the early phase of the COVID-19 pandemic. As a whole, silver and crude oil couldn't offer sanctuary for GCC's sectoral equity markets. Further results show that unless hedged, returns of GCC equity markets are vulnerable to volatility and risk in the global financial markets.

DOI

10.1016/j.pacfin.2022.101768

Access Rights

subscription content

Research Themes

Society and Culture

Priority Areas

Human movement and performance

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