Title: Are digital assets backstops for GCC stock markets in COVID-19-led financial crisis?

Authors: Sahar Loukil; Mouna Aloui; Ahmed Jeribi; Anis Jarboui

Addresses: Department of Accounting and Finance, Faculty of Economics and Management, University of Sfax, Sfax, Tunisia ' Department of Accounting and Finance, Faculty of Economics and Management, University of Gabes, Sfax, Tunisia ' Faculty of Economics and Management, University of Monastir, Mahdia, Tunisia ' Higher Institute of Business Administration, Sfax, Tunisia

Abstract: This study examines the safe haven properties of top five crypto-currencies, oil and gold for the five gulf cooperation council countries in view of COVID-19 period through a nonlinear and asymmetric framework NARDL methodology to uncover short- and long-run asymmetries. Using daily data from January 2019 to April 2020, we find that Bitcoin and Ethereum are safe haven assets for GCC in instability; Bitcoin is a safe haven for Oman, Saudi Arabia and Abu Dhabi. Ethereum is a safe haven for Bahrain, Kuwait and Qatar. Further, for Kuwait, Qatar, Saudi Arabia and Abu Dhabi, oil is a safe haven asset in mitigated period. We also notice that the strategies of hiding differ interestingly for all countries except for Saudi Arabia that does not significantly change its strategies. Thus, portfolio managers may consider few eligible crypto-currencies and oil for their inclusion into the portfolio to hedge risk. While, speculators acting in both stock and crypto market may go for a spread strategy. Our research is useful for portfolio managers and financial advisors looking for the best of crypto's, gold and oil to hedge shocks in stock market indices.

Keywords: cointegration; asymmetry; nonlinearity; GCC; stock market; oil; gold; crypto-currencies.

DOI: 10.1504/IJEF.2021.119782

International Journal of Electronic Finance, 2021 Vol.10 No.4, pp.232 - 259

Received: 10 Dec 2020
Accepted: 03 Jun 2021
Published online: 20 Dec 2021 *

Full-text access for editors Full-text access for subscribers Purchase this article Comment on this article