Inter- and intra-connectedness between energy, gold, Bitcoin, and Gulf cooperation council stock markets: New evidence from various financial crises

Abstract

This study analyzes the inter-dependence of the oil, gold, Bitcoin (BTC), and Gulf Cooperation Council stock markets during the recent Russia–Ukraine and Israel–Palestine conflicts. The study found that these markets were less inter-connected during oil battles and the Russia–Ukraine conflict but more inter-connected during the COVID-19 crisis. Findings indicated that Oman, Kuwait, gold, and Qatar are the most significant spillover receivers, whereas the United Arab Emirates (UAE), Kingdom of Saudi Arabia, and West Texas Intermediate are the primary risk spillover transmitters in the Israel–Palestine conflict. Additionally, BTC and the UAE are significant transmitters, whereas Kuwait and Qatar are the highest-risk spillover receivers in the Russia–Ukraine war. Portfolio estimates revealed that gold, BTC, and/or oil are useful in various equity markets for portfolio diversification and hedging under different market conditions and time horizons. These data can guide managers in portfolio construction and risk diversification. • We examine the connectedness between oil, gold, bitcoin, and the GCC equity markets. • Gold is the net recipient in all frequencies and sub-sample periods. • Connectedness becomes lower in the oil battles, while higher in the COVID-19. • Oil (bitcoin) is the net recipient during the oil battle periods. • We estimate optimal portfolio weights and hedge ratios for portfolio strategies.