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Measuring Return and Volatility Interactions Across GCC Equity Indices and Cryptocurrencies
This research is examining how volatility travels between major cryptocurrencies and Gulf stock markets. Using daily data for six GCC equity indices (ADX, BAX, DFMGI, KSE, QE, TASI) and five leading cryptocurrencies (Bitcoin, Ethereum, XRP, Dash, Monero) from 2017–2022. Our methodology contains a th...
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AUC Knowledge Fountain
2025
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| _version_ | 1867613425582997504 |
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| access_status_str | Open Access |
| author | sudan, yasmin |
| author_browse | sudan, yasmin |
| author_facet | sudan, yasmin |
| author_sort | sudan, yasmin |
| collection | Thesis |
| description | This research is examining how volatility travels between major cryptocurrencies and Gulf stock markets. Using daily data for six GCC equity indices (ADX, BAX, DFMGI, KSE, QE, TASI) and five leading cryptocurrencies (Bitcoin, Ethereum, XRP, Dash, Monero) from 2017–2022. Our methodology contains a three-step framework consists of a univariate Garch (1,1) to assess the volatility of each asset. A bivariant BEKK Garch to measure shocks transmission and volatility transmission from cryptocurrencies to Gulf stock market. The last step is using the DCC Garch model to model the time varying correlation. We also split the sample before and after January 2020 to evaluate COVID-19’s effect on cross-market relationship.
Our findings show that the volatility of the cryptocurrencies is much higher and more persistent than the GCC stocks from Garch (1,1). Using the BEKK-GARCH model, we find that volatility spillovers from cryptocurrencies into Gulf stock markets are more pronounced than the direct transmission of shocks. The largest, most liquid coins especially Ethereum and Bitcoin are the main transmitters, while exposure on the Gulf side is uneven. The DCC-GARCH results suggest that, although average correlations between cryptocurrencies and Gulf stocks remain low, they spike during periods of market stress such as the early covid-19 outbreak. Also, the covid-19 creates a turning point by broadening correlation, increasing volatility transmission and changing several signs in correlation and volatility transmission. Which means that the diversification advantage of cryptocurrencies loses its value when investors care the most during stressful times.
In sum, despite regulatory barriers, GCC markets are not insulated from cryptocurrency dynamics. Investors may benefit from cryptocurrencies as diversifiers in stable times, but correlations intensify during crises. For policymakers, the widening post-covid spillovers highlight the need to monitor crypto markets when preparing for stress events. |
| format | Thesis |
| id | oai:fount.aucegypt.edu:etds-3631 |
| institution | American University in Cairo (Egypt) |
| last_indexed | 2026-06-10T12:35:56.457Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from AUC Knowledge Fountain — bepress |
| publishDate | 2025 |
| publishDateRange | 2025 |
| publishDateSort | 2025 |
| publisher | AUC Knowledge Fountain |
| publisherStr | AUC Knowledge Fountain |
| record_format | dspace |
| source_str | AUC Knowledge Fountain — bepress |
| spelling | oai:fount.aucegypt.edu:etds-3631 Measuring Return and Volatility Interactions Across GCC Equity Indices and Cryptocurrencies sudan, yasmin This research is examining how volatility travels between major cryptocurrencies and Gulf stock markets. Using daily data for six GCC equity indices (ADX, BAX, DFMGI, KSE, QE, TASI) and five leading cryptocurrencies (Bitcoin, Ethereum, XRP, Dash, Monero) from 2017–2022. Our methodology contains a three-step framework consists of a univariate Garch (1,1) to assess the volatility of each asset. A bivariant BEKK Garch to measure shocks transmission and volatility transmission from cryptocurrencies to Gulf stock market. The last step is using the DCC Garch model to model the time varying correlation. We also split the sample before and after January 2020 to evaluate COVID-19’s effect on cross-market relationship. Our findings show that the volatility of the cryptocurrencies is much higher and more persistent than the GCC stocks from Garch (1,1). Using the BEKK-GARCH model, we find that volatility spillovers from cryptocurrencies into Gulf stock markets are more pronounced than the direct transmission of shocks. The largest, most liquid coins especially Ethereum and Bitcoin are the main transmitters, while exposure on the Gulf side is uneven. The DCC-GARCH results suggest that, although average correlations between cryptocurrencies and Gulf stocks remain low, they spike during periods of market stress such as the early covid-19 outbreak. Also, the covid-19 creates a turning point by broadening correlation, increasing volatility transmission and changing several signs in correlation and volatility transmission. Which means that the diversification advantage of cryptocurrencies loses its value when investors care the most during stressful times. In sum, despite regulatory barriers, GCC markets are not insulated from cryptocurrency dynamics. Investors may benefit from cryptocurrencies as diversifiers in stable times, but correlations intensify during crises. For policymakers, the widening post-covid spillovers highlight the need to monitor crypto markets when preparing for stress events. 2025-09-07T07:00:00Z thesis application/pdf https://fount.aucegypt.edu/etds/2577 https://fount.aucegypt.edu/context/etds/article/3631/viewcontent/Yasmin_Mohamed_Sudan_Thesis.pdf Theses and Dissertations AUC Knowledge Fountain crypto GCC Gulf stocks volatility transmission correlation covid 19 Finance and Financial Management |
| spellingShingle | crypto GCC Gulf stocks volatility transmission correlation covid 19 Finance and Financial Management sudan, yasmin Measuring Return and Volatility Interactions Across GCC Equity Indices and Cryptocurrencies |
| title | Measuring Return and Volatility Interactions Across GCC Equity Indices and Cryptocurrencies |
| title_full | Measuring Return and Volatility Interactions Across GCC Equity Indices and Cryptocurrencies |
| title_fullStr | Measuring Return and Volatility Interactions Across GCC Equity Indices and Cryptocurrencies |
| title_full_unstemmed | Measuring Return and Volatility Interactions Across GCC Equity Indices and Cryptocurrencies |
| title_short | Measuring Return and Volatility Interactions Across GCC Equity Indices and Cryptocurrencies |
| title_sort | measuring return and volatility interactions across gcc equity indices and cryptocurrencies |
| topic | crypto GCC Gulf stocks volatility transmission correlation covid 19 Finance and Financial Management |
| url | https://fount.aucegypt.edu/etds/2577 https://fount.aucegypt.edu/context/etds/article/3631/viewcontent/Yasmin_Mohamed_Sudan_Thesis.pdf |
| work_keys_str_mv | AT sudanyasmin measuringreturnandvolatilityinteractionsacrossgccequityindicesandcryptocurrencies |