Purpose: The intensification of economic and financial uncertainty triggered by the pandemic, geopolitical conflicts, and trade frictions necessitates a comprehensive analysis of the risk-return relationship and volatility spillovers across emerging markets, particularly withinIndo-GCC stock markets.

Methodology: This study applies a combined GARCH framework to examine volatility dynamics using daily stock return data from 2011 to 2025, sourced from investing.com.

Findings: Empirical results showed a positive and significant risk–return relationship across all markets except Saudi Arabia and Bahrain. The EGARCH model reveals asymmetry in all markets except Bahrain, confirming a leverage effect dominated by negative shocks.

Implications: These findings enriched academic and professional understanding of cross-market volatility spillover dynamics in emerging markets. The evidence provided insights for investors on portfolio diversification, hedging, and risk management, while underscoring the need for stronger market stabilization policies and regulatory cooperation.

Originality: This study provided a novel perspective on financial markets by quantifying risk-return linkages and time-varying spillovers across emerging markets using GARCH....