Co-movement between GCC stock markets and the US stock markets: A wavelet coherence analysis

In this article, the co-movement between GCC and US stock market returns was investigated using the wavelet coherence method. The Dynamic Conditional Correlation GARCH (DCC-GARCH) modelling is then applied on time-varying components in order to provide a point of comparison with the results extracte...

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Autores principales:	Ali Matar, Mahmoud Al-Rdaydeh, Anas Ghazalat, Bilal Eneizan
Formato:	article
Lenguaje:	EN
Publicado:	Taylor & Francis Group 2021
Materias:	stock markets co-movement gcc usa wavelet coherence Business HF5001-6182 Management. Industrial management HD28-70
Acceso en línea:	https://doaj.org/article/a36c3fb760e54f2c827ff59a1b35f6cd
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spelling	oai:doaj.org-article:a36c3fb760e54f2c827ff59a1b35f6cd2021-12-02T17:58:21ZCo-movement between GCC stock markets and the US stock markets: A wavelet coherence analysis2331-197510.1080/23311975.2021.1948658https://doaj.org/article/a36c3fb760e54f2c827ff59a1b35f6cd2021-01-01T00:00:00Zhttp://dx.doi.org/10.1080/23311975.2021.1948658https://doaj.org/toc/2331-1975In this article, the co-movement between GCC and US stock market returns was investigated using the wavelet coherence method. The Dynamic Conditional Correlation GARCH (DCC-GARCH) modelling is then applied on time-varying components in order to provide a point of comparison with the results extracted from wavelet analysis. The investigation was conducted on the weekly stock index prices of two USA stock markets, namely Dow Jones and S&P 500 and six GCC stock markets, namely the United Arab Emirates, Saudi Arabia, Qatar, Oman, Kuwait, and Bahrain. The data were retrieved from Thomson Reuters’s data stream and the sample duration was from 7 January 2007 to 24 June 2018. As a result, a definite co-movement between several GCC stock markets and those of the US stock markets for a long term was found. Moreover, the results also displayed signs of the significant disparity between the co-movements of the stock markets throughout the scales of time during economic decline. This phenomenon was possibly expected during the economic decline, where a significant divergence occurred as opposed to co-movement. The implications of the findings for global investors were considerable due to the indication from long-term co-movement that these investors would not be capable of gaining simultaneous profit from time and portfolio being diversified. In fact, the results showed the major difference in the opportunities for international portfolio diversiﬁcation throughout these markets in terms of scale and time.Ali MatarMahmoud Al-RdaydehAnas GhazalatBilal EneizanTaylor & Francis Grouparticlestock marketsco-movementgccusawavelet coherenceBusinessHF5001-6182Management. Industrial managementHD28-70ENCogent Business & Management, Vol 8, Iss 1 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	stock markets co-movement gcc usa wavelet coherence Business HF5001-6182 Management. Industrial management HD28-70
spellingShingle	stock markets co-movement gcc usa wavelet coherence Business HF5001-6182 Management. Industrial management HD28-70 Ali Matar Mahmoud Al-Rdaydeh Anas Ghazalat Bilal Eneizan Co-movement between GCC stock markets and the US stock markets: A wavelet coherence analysis
description	In this article, the co-movement between GCC and US stock market returns was investigated using the wavelet coherence method. The Dynamic Conditional Correlation GARCH (DCC-GARCH) modelling is then applied on time-varying components in order to provide a point of comparison with the results extracted from wavelet analysis. The investigation was conducted on the weekly stock index prices of two USA stock markets, namely Dow Jones and S&P 500 and six GCC stock markets, namely the United Arab Emirates, Saudi Arabia, Qatar, Oman, Kuwait, and Bahrain. The data were retrieved from Thomson Reuters’s data stream and the sample duration was from 7 January 2007 to 24 June 2018. As a result, a definite co-movement between several GCC stock markets and those of the US stock markets for a long term was found. Moreover, the results also displayed signs of the significant disparity between the co-movements of the stock markets throughout the scales of time during economic decline. This phenomenon was possibly expected during the economic decline, where a significant divergence occurred as opposed to co-movement. The implications of the findings for global investors were considerable due to the indication from long-term co-movement that these investors would not be capable of gaining simultaneous profit from time and portfolio being diversified. In fact, the results showed the major difference in the opportunities for international portfolio diversiﬁcation throughout these markets in terms of scale and time.
format	article
author	Ali Matar Mahmoud Al-Rdaydeh Anas Ghazalat Bilal Eneizan
author_facet	Ali Matar Mahmoud Al-Rdaydeh Anas Ghazalat Bilal Eneizan
author_sort	Ali Matar
title	Co-movement between GCC stock markets and the US stock markets: A wavelet coherence analysis
title_short	Co-movement between GCC stock markets and the US stock markets: A wavelet coherence analysis
title_full	Co-movement between GCC stock markets and the US stock markets: A wavelet coherence analysis
title_fullStr	Co-movement between GCC stock markets and the US stock markets: A wavelet coherence analysis
title_full_unstemmed	Co-movement between GCC stock markets and the US stock markets: A wavelet coherence analysis
title_sort	co-movement between gcc stock markets and the us stock markets: a wavelet coherence analysis
publisher	Taylor & Francis Group
publishDate	2021
url	https://doaj.org/article/a36c3fb760e54f2c827ff59a1b35f6cd
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Co-movement between GCC stock markets and the US stock markets: A wavelet coherence analysis

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