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How do GCC countries stocks interact with US and European debt markets?

2025-02-19Journal article Restricted access
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dc.contributor.authorHanif, Waqas
dc.contributor.authorKhoury, Rim El
dc.contributor.authorGubareva, Mariya
dc.date.accessioned2025-05-14T10:50:11Z
dc.date.available2025-05-14T10:50:11Z
dc.date.issued2025-02-19
dc.description.abstractThis 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.eng
dc.description.sponsorshipProjects UID04521 and UID06522
dc.identifier.doi10.1002/ijfe.3129
dc.identifier.eissn1099-1158
dc.identifier.issn1076-9307
dc.identifier.urihttp://hdl.handle.net/10400.1/27112
dc.language.isoeng
dc.peerreviewedyes
dc.publisherWiley
dc.relationCenter for Advanced Studies in Management and Economics
dc.relation.ispartofInternational Journal of Finance & Economics
dc.rights.uriN/A
dc.subjectEMU bonds
dc.subjectGCC stock markets
dc.subjectQuantile coherency
dc.subjectQuantile connectedness
dc.subjectSpillovers
dc.subjectUS bonds
dc.titleHow do GCC countries stocks interact with US and European debt markets?eng
dc.typejournal article
dspace.entity.typePublication
oaire.awardTitleCenter for Advanced Studies in Management and Economics
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDB%2F04007%2F2020/PT
oaire.citation.titleInternational Journal of Finance & Economics
oaire.fundingStream6817 - DCRRNI ID
oaire.versionhttp://purl.org/coar/version/c_970fb48d4fbd8a85
person.familyNameHanif
person.givenNameWaqas
person.identifier.ciencia-id861A-7BB4-89FE
person.identifier.orcid0000-0002-0034-2049
person.identifier.scopus-author-id57201879548
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.nameFundação para a Ciência e a Tecnologia
relation.isAuthorOfPublication4a080072-0db9-42cd-925b-24ccf0c4b046
relation.isAuthorOfPublication.latestForDiscovery4a080072-0db9-42cd-925b-24ccf0c4b046
relation.isProjectOfPublication2fa5dcac-9207-4f5b-b4be-54fcf7dcdd7d
relation.isProjectOfPublication.latestForDiscovery2fa5dcac-9207-4f5b-b4be-54fcf7dcdd7d

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