1 Volatility and risk spillovers between oil, gold, and Islamic and conventional GCC banks Walid Mensi a,b , Shawkat Hammoudeh c,d , Idries Mohammad Wanas Al-Jarrah e , Khamis Hamed Al-Yahyaee b* , Sang Hoon Kang a Department of Finance and Accounting, University of Tunis El Manar, Tunis, Tunisia b Department of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University, Muscat, Oman Email: walid.mensi@fsegt.rnu.tn Email: yahyai@squ.edu.om c Lebow College of Business, Drexel University, Philadelphia, United States d Energy and Sustainable Development (ESD), Montpellier Business School, Montpellier, France Email address: shawkat.hammoudeh@gmail.com e College of Business and Economic, Qatar University, Qatar Email: idries@qu.edu.qa f Department of Business Administration, Pusan National University, Busan 609-735, Republic of Korea Email: sanghoonkang@pusan.ac.kr Abstract This paper examines time-varying risk spillovers and hedging effectiveness between two major commodity markets (oil and gold) and both the Islamic and conventional bank stock indices for five GCC countries (Bahrain, Kuwait, Qatar, Saudi Arabia and UAE), using the DECO- FIGARCH model and the spillover index of Diebold and Yilmaz (2012). The results of the DECO-FIGARCH model show evidence of a weak average conditional correlation between all the GCC bank stock indices and the two commodity markets. Moreover, we find significant risk spillovers between these Islamic and conventional GCC bank stock indices and the commodity markets. The spillovers rise considerably during the 2008-2009 global financial crisis and the 2014-2015 oil price plunge periods Further, oil, gold, and the conventional bank stock index of Saudi Arabia, Kuwait and Qatar are net sources of volatility spillovers into the other markets, while all the Islamic banks and conventional banks of UAE and Bahrain are net volatility recipients of volatility spillovers. Finally, we provide evidence asserting that including gold and oil in a GCC portfolio offers better but different diversification benefits and hedging effectiveness for the GCC banks. Keywords: GCC, Islamic banking, Commodity markets, Risk spillovers, Hedging effectiveness JEL classification codes: G14; G15