驾驭不确定性:危机时期标准普尔海湾合作委员会综合指数的关联性研究

IF 2.5 Q2 BUSINESS, FINANCE
Muneer M. Alshater, Rim El Khoury, Bashar Almansour
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引用次数: 0

摘要

目的本研究旨在调查标准普尔(S&P)海湾合作委员会(GCC)综合指数与五个地区股票指数、三个全球股票指数以及其他不同资产类别在 COVID-19 大流行期间的收益关联性动态。研究结果本研究结果表明,连通性的性质具有时间频率性,有明显证据表明在压力期,尤其是在大流行病爆发后,连通性水平更高。研究的局限性/启示本研究因仅使用每日数据而受到限制,未来的研究可考虑使用更高频率的数据。本研究的结果证实了大流行病对海湾合作委员会指数及其与其他资产的关联性产生了令人不安的影响,这对政策制定者和投资者来说非常重要。本研究对海湾合作委员会指数在 COVID-19 大流行病期间与其他资产的回报关联性动态提供了新的见解,这在以前的研究中从未探讨过。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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.

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来源期刊
CiteScore
4.80
自引率
22.70%
发文量
78
期刊介绍: The journal provides a dynamic forum for the advancement of accounting and business knowledge based on Shari’ah and Islamic activities that have an impact on the welfare of society. JIABR publishes articles on the interplay between Islamic business ethics, accounting, auditing and governance, in promoting accountability, socio-economic justice (adl) and everlasting success (al-falah). It seeks to inform, among others, current theoretical and empirical research and practice in Islamic accounting, auditing and corporate governance, management of Islamic organizations, accounting regulation and policy for Islamic institutions, Shari’ah auditing and corporate governance, financial and non-financial performance measurement and disclosure in Islamic institutions and organizations. All styles of research, theoretical and empirical, case studies, practice-based papers and research notes that are well written and falling within the journal''s scope, are generally welcomed by the journal. Scope/Coverage Development of accounting, auditing and corporate governance concepts based on Shari’ah Socio-political influence on accounting and auditing regulation and policy making for Islamic financial institutions and organizations Historical perspectives on Islamic accounting, auditing and financial management Critical analysis on issues and challenges on accounting disclosure and measurement, Shari’ah audit and corporate governance Controls and risks in Islamic organizations Financial and non-financial performance measurement and disclosure.
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