EXAMINING THE INTERCONNECTEDNESS OF GCC ISLAMIC AND CONVENTIONAL INDICES: INSIGHTS FROM A QUANTILE VAR NETWORK ANALYSIS

Abstract

Utilizing daily data spanning from 2015 to 2024 and employing quantile VAR spillover models, the present study investigates the interconnections of the GCC Islamic vs. Conventional Indices, specifically focusing on Kuwait, Oman, Bahrain, Qatar, Jordan, UAE, and Saudia Arabia. The study's findings suggest an average of 51.59% interconnectedness among the designated indices. Thus, the findings reveal a weak connection between Islamic indices compared to overall markets. Saudi Arabia is the strong net transmitter (11.55%) of spillover after Bahrain (16.47%), while Jordan is the biggest net recipient 14.19% of spillover, followed by Oman 13.78%. Among all, Kuwait is the least connected market. Saudi Arabia's Islamic is a strong recipient of spillover shocks compared to all other Islamic indices. Thus, the study reveals diversification avenues and recommends that investors may consider Kuwait for parking their funds because of the least connectivity and greater diversification.