TAILIEUCHUNG - Trend of oil prices, gold, GCC stocks market during Covid-19 pandemic: A wavelet approach

This paper analyzed the co-movement among the stock indices of GCC members like Abudhabi, Bahrain, Oman, Saudi Arabia, Qatar and global oil prices as indicated by Brent, WTI. Gold, S&P 500 index and Dow Jones index has also been taken into account. Daily prices from January 2, 2020 up to September 30, 2020 were used for the analysis. In order to analyze the co-movement among the above mentioned indices in time frequency space wavelet transform approach has been used. The techniques employed in the study include wavelet correlation and wavelet coherence approach. The findings of this empirical study suggests that though there was no much interconnectedness among the above mentioned factors in the short run, the impact of the global pandemic crisis that got added to the oil price shock could be seen in the medium and long run. The study suggests that investors need to be cautious of their investment decisions with respect to the time horizon as these markets show significant co-movement in the long run when hit by global crisis. | International Journal of Energy Economics and Policy ISSN 2146-4553 available at http International Journal of Energy Economics and Policy 2021 11 4 560-572. Trend of Oil Prices Gold GCC Stocks Market during Covid-19 Pandemic A Wavelet Approach Aqila Rafiuddin1 Jennifer Daffodils2 Jesus Cuauhtemoc Tellez Gaytan3 Gyanendra Singh Sisodia4 1 College of Business Administration University of Science and Technology of Fujairah United Arab Emirates 2Freelance Trainer Kuwait 3Tecnologico de Monterrey Mexico 4College of Business Administration Ajman University United Arab Emirates. Email singh_gis@ Received 17 February 2020 Accepted 24 April 2021 DOI https ABSTRACT This paper analyzed the co-movement among the stock indices of GCC members like Abudhabi Bahrain Oman Saudi Arabia Qatar and global oil prices as indicated by Brent WTI. Gold S amp P 500 index and Dow Jones index has also been taken into account. Daily prices from January 2 2020 up to September 30 2020 were used for the analysis. In order to analyze the co-movement among the above mentioned indices in time frequency space wavelet transform approach has been used. The techniques employed in the study include wavelet correlation and wavelet coherence approach. The findings of this empirical study suggests that though there was no much interconnectedness among the above mentioned factors in the short run the impact of the global pandemic crisis that got added to the oil price shock could be seen in the medium and long run. The study suggests that investors need to be cautious of their investment decisions with respect to the time horizon as these markets show significant co-movement in the long run when hit by global crisis. Keywords Oil Prices GCC Stock Indices Co-movement Wavelet Analysis JEL Classifications G01 G15 C32 1. INTRODUCTION and price reactions in financial markets Lam et al. 2020 . World leading economies have significantly affected the .

• Kinh tế học
• Oil prices
• GCC stock indices
• CO movement
• Wavelet analysis
• Covid 19 pandemic
• GCC stocks market
• Stock returns
• Long run association of oil prices
• Stock market index in Indonesia
• Oil crude oil prices
• Crude oil prices
• Public spending
• Trend analysis
• Volatility of oil prices
• Oil prices lowering year
• Generalised autoregressive conditional heteroscedasticity model
• Forecasting crude oil prices
• Daily prices of crude oil
• Food prices
• Var model
• Unit root test
• Food inflation in Kazakhstan
• Oil prices on the food inflation
• Time series
• Structural break
• Stock prices
• Stock prices in saudi Arabia
• Asymmetric causality
• Asymmetric causality analysis
• Stock prices in BRICS T countries
• The impact of high oil prices
• The global economy
• Crude oil import price
• High oil prices
• Net impact on the global economy
• Oil revenues
• Mortgages and real estate loans
• Housing market
• Relationship between oil prices
• Oil price
• Non linear autoregressive distributed lag
• Net oil importing country
• Granger causality
• Vietnamese stock market index
• Economic growth of Vietnam
• Crude oil
• Stock market
• Global prices
• Stock market nexus in Indonesia
• Global prices of crude oil
• Macro economic variables
• Autoregressive distributed lag
• Bound test
• Evidence from BRICS countries
• Relationship between crude oil prices
• Crude oil price
• EUR/USD exchange rate
• Gold price
• Auto regressive distributed lag
• Co integration
• Spot prices
• Futures prices
• Price discovery
• Futures prices of refined soy oil
• Stock market returns
• Oil price fluctuations
• Exchange rate
• Interest rate
• Natural gas prices
• Natural gas market
• Crude oil marke
• Changes in demand
• Oil sector revenue
• Saudi arabia
• Optional resources
• Stock return
• Volatility spillovers
• Var Garch model
• Oil prices and stock returns
• Developing countries
• Liquefied petroleum gas
• Propane and oil prices
• Food price
• Partial structural change model
• Partial structural change modeling
• Oil markets in Nigeria
• Oil price exert positive
• Industrial production index
• Panel cointegration
• Panel cointegration test
• Oil importing countries
• Institutional ownership
• Evidence of oil
• Gas mining companies
• Error correction model
• Economy of Vietnam
• Macroeconomic performance
• Industrial production
• Garch process
• Time varying
• Dollar exchange rates
• Volatility transmission
• Causality in variance
• Conditional correlations
• Multivariate garch
• Sector indexes
• Portfolio decisions