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Chaker Aloui

Professor

Faculty Member

كلية إدارة الأعمال
Male Campus, Second Floor, Office S28
publication
Journal Article
2014

Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis

Hkiri, C. Aloui & B. . 2014

This paper examines the short term and long term dependencies between stock market returns for the Gulf Cooperation Council (GCC) Countries (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia, and the United Arab Emirates) during the period 2005–2010. Our empirical investigation is based on the wavelet squared coherence which allows us to assess the co-movement in both time-frequency spaces. Our results reveal frequent changes in the pattern of the co-movements especially after 2007 for all the selected GCC markets at relatively higher frequencies. We further note an increasing strength of dependence among the GCC stock markets during the last financial crisis signifying enhanced portfolio benefits for investors in the short term relative to the long term. On the financial side, we uncover that the strength of co-movement between GCC markets may impact the multi-country portfolio's value at risk (VaR) levels. These findings provide potential implications for portfolio managers operating in the GCC region who are invited to consider co-movement through both frequencies and time when designing their portfolios.

Publication Work Type
Original Research Paper
Volume Number
36
Magazine \ Newspaper
Economic Modelling
Pages
421-431
more of publication
publications

This paper examines the short term and long term dependencies between stock market returns for the Gulf Cooperation Council (GCC) Countries (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia, and the…

by C. Aloui & B. Hkiri
2014
publications

This paper addresses the question whether dual long memory (LM), asymmetry and structural breaks in stock market returns matter when forecasting the value at risk (VaR) and expected shortfall (ES…

2014
publications

We assess the co-movement between the sharia-compliant stocks and sukuk in the Gulf Cooperation Council (GCC) countries. The wavelet squared coherency approach is applied to daily data covering…

by S. Hammoudeh & H. Ben Hamida
2015