Global financial crisis and co-movements between oil prices and sector stock markets in Saudi Arabia: A VaR based wavelet
TLDR
In this paper, the authors examined the portfolio risk management and dynamic co-movements between crude oil and Saudi sector stock markets using wavelet approach and a value at risk measure.About:
This article is published in Borsa Istanbul Review.The article was published on 2017-12-01 and is currently open access. It has received 47 citations till now. The article focuses on the topics: Financial crisis & Stock (geology).read more
Citations
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Dynamic co-movement between oil and stock markets in oil-importing and oil-exporting countries: Two types of wavelet analysis
Zhuhua Jiang,Seong-Min Yoon +1 more
TL;DR: In this article, the authors explored the dynamic co-movement between oil and six stock markets (China, India, Japan, Saudi Arabia, Russia, and Canada) by using two types of wavelet analysis (wavelet multi-scale decomposition and wavelet coherence) and found that the stock prices are more influenced by oil prices in oil exporting countries than in oil importing countries.
Journal ArticleDOI
Does bitcoin co-move and share risk with Sukuk and world and regional Islamic stock markets? Evidence using a time-frequency approach
TL;DR: In this article, the co-movements between Bitcoin and the Dow Jones World Stock Market Index, regional Islamic stock markets, and Sukuk markets were examined and the benefits of portfolio diversification with BTC and Islamic assets vary across time and frequencies.
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Do Islamic stocks outperform conventional stock sectors during normal and crisis periods? Extreme co-movements and portfolio management analysis
Khamis Hamed Al-Yahyaee,Walid Mensi,Walid Mensi,Mobeen Ur Rehman,Mobeen Ur Rehman,Xuan Vinh Vo,Sang Hoon Kang,Sang Hoon Kang +7 more
TL;DR: In this article, the authors compared the performance of 22 Islamic and conventional Dow Jones stock market indices during the recent pre-crisis and postcrisis periods, namely, the global financial crisis (GFC) and the European sovereign debt crisis (ESDC), and analyzed the time-frequency co-movements between conventional and Islamic stock sectors.
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Examining the Asymmetric Impact of COVID-19 Pandemic and Global Financial Crisis on Dow Jones and Oil Price Shock
TL;DR: In this article, the authors investigated the impact of the COVID-19 crisis on Dow Jones and West Texas Intermediate (WTI) oil returns in relation to other crises using the Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model.
Journal ArticleDOI
Oil prices, stock market returns, and volatility spillovers: evidence from Saudi Arabia
TL;DR: The authors investigated the second-moment effects between crude oil prices and stock market returns in Saudi Arabia by taking into account volatility spillovers that are exemplified by secondmoments effects.
References
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A Practical Guide to Wavelet Analysis.
TL;DR: In this article, a step-by-step guide to wavelet analysis is given, with examples taken from time series of the El Nino-Southern Oscillation (ENSO).
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Application of the cross wavelet transform and wavelet coherence to geophysical time series
TL;DR: It is demonstrated how phase angle statistics can be used to gain confidence in causal relation- ships and test mechanistic models of physical relationships between the time series and Monte Carlo methods are used to assess the statistical significance against red noise backgrounds.
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Oil and the Macroeconomy since World War II
TL;DR: The authors found that all but one of the U.S. recessions since World War II have been preceded, typically with a lag of around three-fourths of a year, by a dramatic increase in the price of crude petroleum.
Book
Introduction to Wavelets and Wavelet Transforms: A Primer
TL;DR: This work describes the development of the Basic Multiresolution Wavelet System and some of its components, as well as some of the techniques used to design and implement these systems.
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Interdecadal changes in the ENSO-monsoon system
TL;DR: In this paper, wavelet analysis is applied to indexes of equatorial Pacific sea surface temperature (Nino3 SST), the Southern Oscillation index, and all-India rainfall.