How Do GCC Countries Stocks Interact With US and European Debt Markets?
研究了2007年7月至2023年9月期间海湾合作委员会国家股市与欧美债券市场的动态关联，发现极端市场条件下关联性增强，阿联酋和沙特是影响其他GCC市场回报的关键角色。
ABSTRACT This study conducts a comprehensive analysis of interconnectedness in Gulf Cooperation Council (GCC) equity markets and global bond markets, primarily focusing on European Monetary Union (EMU) and US bonds, from July 2007 to September 2023. Using innovative methodologies such as quantile connectedness and quantile coherency, we capture the dynamic relationships across different market conditions, particularly during extreme events. The quantile connectedness includes a moderate to low degree of interconnectedness during normal market conditions, intensifying during extreme market conditions. The United Arab Emirates (UAE) and Saudi Arabia are identified as influential players, transcending borders to impact returns in other GCC markets. Roles of GCC countries as net transmitters or receivers of returns shift over time, necessitating adaptable investment strategies. The interconnectedness of GCC markets with bonds responds differently to global crises and turbulences, including geopolitical and health crises. Our quantile coherence analysis provides insights for risk management and portfolio allocation. These findings have crucial implications for investors, encouraging adaptive asset allocation strategies, and for policymakers to monitor intra‐regional spillovers in shaping market dynamics.