Two essays on the GCC's stock markets dynamics: A comparative study between Islamic and conventional indices

In this thesis the impact of regional and global factors on GCC Islamic and conventional market indices is studied. To do so, we apply the quantile regression on monthly data from April 2011 to April 2021. The first essay examines the influence of regional factors on Islamic and conventional stock returns in GCC countries using the quantile regression method. The study reveals that the reaction of market returns to regional factors varies across the distribution of GCC's stock returns. Specifically, regional factors have asymmetric effects on stock returns in most GCC markets, making portfolio diversification difficult. The second essay evaluates the impact of global risk factors on Islamic and conventional stock indices performance in the GCC region, using moment quantile regression. Results show that the performance of GCC markets under different risk factors varies asymmetrically across quantiles, but Islamic and conventional markets in the GCC follow a similar return pattern. The findings suggest that Sharia screening does not provide any specific benefit to investors interested in GCC markets, particularly those with a Gulf-based portfolio asset composition. These results have significant investment and policy implications.