Using a bivariate dynamic conditional correlation (DCC) generalized autoregressive conditional heteroskedasticity (GARCH) model, this study compares the safe-haven properties of various assets against the major Gulf Cooperation Council (GCC) stock indexes during two periods of financial turmoil, the COVID-19 pandemic and the 2008 Global Financial Crisis (GFC). Sovereign bonds offered the highest hedging benefits under both crises. The traditional safe assets, gold and silver, which were reasonably productive under the GFC, have been less so during the pandemic. The Japanese yen emerged as a very safe choice for investors holding GCC stock indexes. Both sector indexes and stock indexes failed to safeguard investors most of the time during each crisis.

本研究使用双变量动态条件相关 (DCC) 广义自回归条件异方差 (GARCH) 模型，将各种资产的避险属性与海湾合作委员会 (GCC) 主要股票指数在两个金融动荡时期（COVID- 19 大流行和 2008 年全球金融危机 (GFC)。在这两次危机中，主权债券提供了最高的对冲收益。传统的安全资产黄金和白银在全球金融危机下具有合理的生产力，但在大流行期间已不那么如此了。对于持有海湾合作委员会股票指数的投资者来说，日元成为一个非常安全的选择。在每次危机期间，行业指数和股票指数的大部分时间都未能保护投资者。