Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies: Evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis
Faisal Alqahtani and
Aviral Tiwari ()
Energy Economics, 2019, vol. 80, issue C, 536-552
This paper examines the extent of volatility between oil price and sectoral indices in the Gulf Cooperation Council (GCC) countries by using quantile regression analysis (QRA) for the return's series and denoised series over the period 2006–2017. Four sectors are found to offer diversification opportunities during a high market (i.e.,90th quantile). All the sectors are found interdependent of oil price volatility; however, the bank and insurance sectors are insusceptible to oil price volatility during the 10th, 25th and 75th quantiles. In addition, QRA results for wavelet nonlinear denoising with a soft-thresholding series indicate that all the sectors are interdependent of oil price volatility but that the aggregate market index, transport and telecommunication sectors are insensitive to oil price volatility during the 75th and 90th quantiles. This highlights the usefulness of denoising the financial returns series when applying regression tools. Moreover, the contagion and interdependence between the oil price and stock returns sectors are estimated by frequency domain causality.
Keywords: Oil price volatility; Stock sector markets; Quantile regression analysis; Frequency domain causality; Soft thresholding; GCC countries (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:80:y:2019:i:c:p:536-552
Access Statistics for this article
Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant
More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().