Time-Series and Cross-Sectional Momentum in the Saudi Arabia Stock Market Returns

2016 ◽  
Author(s):  
Shah Saeed Chowdhury
Keyword(s):  
Time Series ◽  
Saudi Arabia ◽  
Stock Market ◽  
Market Returns ◽  
Cross Sectional ◽  
Stock Market Returns

scholarly journals US Economic Policy Uncertainty and GCC Stock Market Performance

2020 ◽  
Vol 15 (1) ◽  
pp. 223-242
Author(s):  
Saeed Abdullah
Keyword(s):  
Economic Policy ◽  
Saudi Arabia ◽  
Stock Market ◽  
Policy Uncertainty ◽  
Market Returns ◽  
Stock Market Returns ◽  
Economic Policy Uncertainty ◽  
Gcc Countries ◽  
Stock Market Performance ◽  
Economy Policy

AbstractThe study evaluates the effect of economy policy uncertainty of US on gulf cooperation council (GCC) countries’ stock market returns. The GCC countries are Saudi Arabia, Qatar, UAE, Kuwait, Bahrain and Oman. Granger Causality Tests (GCT) was done primarily to evaluate if economy policy uncertainty granger cause on GCC stock market returns. The analysis established that oil prices granger cause stock market returns for Saudi Arabia, Kuwait and UAE; the same is not true on changes in economic policy uncertainty of US cause on the stock market returns. Changes in economy policy uncertainty in US granger causes on stock market returns of Bahrain. On the other hand, economy policy uncertainty in US does not cause stock market returns in Qatar, UAE, Kuwait and Saudi Arabia. Vector Autoregression (VAR) analysis establishes that economy policy uncertainty in US negatively responds to the stock market returns of the GCC countries.

scholarly journals Dynamic Spillovers between Gulf Cooperation Council’s Stocks, VIX, Oil and Gold Volatility Indices

2020 ◽  
Vol 13 (4) ◽  
pp. 69 ◽  
Author(s):  
Abdullah Alqahtani ◽  
Julien Chevallier
Keyword(s):  
Saudi Arabia ◽  
Stock Market ◽  
Stock Returns ◽  
Gulf Cooperation Council ◽  
Oil Shocks ◽  
Market Returns ◽  
Stock Market Returns ◽  
Gcc Countries ◽  
Conditional Correlations ◽  
Garch Modeling

This paper analyzes the conditional correlations between the stock market returns of countries that are members of the Gulf Cooperation Council (GCC). The innovative aspects of the paper consist of focusing on three volatility indices: the oil (OVX), gold (GVZ), and S&P500 (VIX) markets (considered in log-difference). We use weekly data and resort to DCC-GARCH modeling. The novelty of the paper consists in revealing that: (i) GCC stock market returns are negatively correlated with each of the volatility measures, and the correlations are stronger during crisis periods; (ii) GCC stock returns are mostly correlated with oil shocks; and (iii) Saudi Arabia and Qatar are the most responsive to all shocks among the GCC countries, while Bahrain correlates weakly to shocks in oil, gold, and VIX. The most striking results feature extra sensitivity of Saudi Arabia and Qatar in terms of volatility indices, which should be the foremost concern of policymakers and banking analysts.

scholarly journals Analysis of cyclical behavior in time series of stock market returns

2018 ◽  
Vol 54 ◽  
pp. 21-33 ◽  
Author(s):  
Djordje Stratimirović ◽  
Darko Sarvan ◽  
Vladimir Miljković ◽  
Suzana Blesić
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Market Returns ◽  
Stock Market Returns ◽  
Cyclical Behavior
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