Geopolitical Risk and the Saudi Stock Market: Evidence from a New Wavelet Packet Multiresolution Cross-Causality

Foued Saadaoui, Sami Ben Jabeur () and John W Godll
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Sami Ben Jabeur: UR CONFLUENCE : Sciences et Humanités (EA 1598) - UCLy - UCLy (Lyon Catholic University), ESDES - ESDES, Lyon Business School - UCLy - UCLy - UCLy (Lyon Catholic University)

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Abstract: Recently, due to OPEC Plus cutting oil production, geopolitical tensions have escalated between the United States and Saudi Arabia. We explore the relationship between geopolitical risk and the Saudi stock market, developing a deep cross-causality approach based on wavelet methodology. Our sample includes Brexit, COVID-19, and the Russian–Ukrainian war. We identify causal patterns especially during times of crisis, evidencing one-way causality of geopolitical factors impacting the Saudi market. Scholars and policymakers will be interested in the sensitivity of the Saudi market to geopolitical risk.

Keywords: Gulf economy; Saudi stock market; Geopolitical risk; Multiresolution cross-causality; Wavelet packet transform; transformée en paquet d'ondelettes; causalité croisée multirésolution; risque géopolitique; marché boursier saoudien; Économie du Golfe (search for similar items in EconPapers)
Date: 2023-01
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Published in Finance Research Letters, 2023, 53, pp.103654. ⟨10.1016/j.frl.2023.103654⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05238453

DOI: 10.1016/j.frl.2023.103654

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