Trend of Oil Prices, Gold, GCC Stocks Market during Covid-19 Pandemic: A Wavelet Approach

Aqila Rafiuddin, Jennifer Daffodils, Jesus Cuauhtemoc Tellez Gaytan and Gyanendra Singh Sisodia
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Aqila Rafiuddin: College of Business Administration, University of Science and Technology of Fujairah, United Arab Emirates
Jennifer Daffodils: Freelance Trainer, Kuwait
Jesus Cuauhtemoc Tellez Gaytan: Tecnologico de Monterrey, Mexico,
Gyanendra Singh Sisodia: College of Business Administration, Ajman University, United Arab Emirates.

International Journal of Energy Economics and Policy, 2021, vol. 11, issue 4, 560-572

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&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 (search for similar items in EconPapers)
JEL-codes: C32 G01 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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