Muneer M. Alshater, Rim El Khoury, Bashar Almansour
{"title":"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","authors":"Muneer M. Alshater, Rim El Khoury, Bashar Almansour","doi":"10.1108/jiabr-01-2023-0024","DOIUrl":null,"url":null,"abstract":"<h3>Purpose</h3>\n<p>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.</p><!--/ Abstract__block -->\n<h3>Design/methodology/approach</h3>\n<p>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.</p><!--/ Abstract__block -->\n<h3>Findings</h3>\n<p>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.</p><!--/ Abstract__block -->\n<h3>Research limitations/implications</h3>\n<p>This study is limited by the use of only daily data, and future research could consider using higher frequency data.</p><!--/ Abstract__block -->\n<h3>Practical implications</h3>\n<p>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.</p><!--/ Abstract__block -->\n<h3>Originality/value</h3>\n<p>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.</p><!--/ Abstract__block -->","PeriodicalId":46046,"journal":{"name":"Journal of Islamic Accounting and Business Research","volume":"76 1","pages":""},"PeriodicalIF":2.5000,"publicationDate":"2024-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Navigating uncertainty: a study of the S&P GCC composite index’s connectedness during times of crises\",\"authors\":\"Muneer M. 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The GCC index is found to be a net receiver of shocks to other assets, with an increase in magnitude during the COVID period.</p><!--/ Abstract__block -->\\n<h3>Research limitations/implications</h3>\\n<p>This study is limited by the use of only daily data, and future research could consider using higher frequency data.</p><!--/ Abstract__block -->\\n<h3>Practical implications</h3>\\n<p>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.</p><!--/ Abstract__block -->\\n<h3>Originality/value</h3>\\n<p>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.</p><!--/ Abstract__block -->\",\"PeriodicalId\":46046,\"journal\":{\"name\":\"Journal of Islamic Accounting and Business Research\",\"volume\":\"76 1\",\"pages\":\"\"},\"PeriodicalIF\":2.5000,\"publicationDate\":\"2024-06-17\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Islamic Accounting and Business Research\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1108/jiabr-01-2023-0024\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Islamic Accounting and Business Research","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/jiabr-01-2023-0024","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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.
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.