Global risk transmission in GCC markets

Article

Narayany S., C., Ali, A. and Zargar, F.N. 2026. Global risk transmission in GCC markets. International Journal of Accounting, Business and Finance. 4 (2), pp. 78-98. https://doi.org/10.55429/ijabf.v4i2.268
TypeArticle
TitleGlobal risk transmission in GCC markets
AuthorsNarayany S., C., Ali, A. and Zargar, F.N.
Abstract

This study analyses the transmission of global risk across global markets (MSCI US, Brent crude oil, and MSCI Gold) and the Gulf Cooperation Council (GCC) region from January 2009 to November 2024. The study uses a dual econometric framework: first, calculating extreme downside risk with a DCC-GARCH model, and then capturing the direction and magnitude of risk spillovers with a TVP-VAR model. The analysis helps determine how the relationships between these indices evolve during periods of global financial crises and uncertainty. Results show that GCC markets are highly vulnerable to external shocks and predominantly net recipients of risk. The US market emerges as the strongest net transmitter of volatility, especially during periods of crisis. Brent crude oil serves as both a transmitter and a receiver of risk, while gold serves as a shock absorber and remains a safe-haven asset. Robustness checks using alternate specifications confirm the reliability of these findings.

Sustainable Development Goals9 Industry, innovation and infrastructure
Middlesex University ThemeCreativity, Culture & Enterprise
PublisherIndian Accounting Association
JournalInternational Journal of Accounting, Business and Finance
ISSN
Electronic2583-2123
Publication dates
Online06 Jun 2026
Print06 Jun 2026
Publication process dates
Accepted2026
Deposited28 Jul 2026
Output statusPublished
Publisher's version
License
File Access Level
Open
Copyright Statement

Copyright (c) 2026 Chinmaya Narayany S., Asgar Ali, Faisal Nazir Zargar

Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

Digital Object Identifier (DOI)https://doi.org/10.55429/ijabf.v4i2.268
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