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Global financial crisis and co-movements between oil prices and sector stock markets in Saudi Arabia: A VaR based wavelet

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  • Walid Mensi

Abstract

This paper examines the portfolio risk management and dynamic co-movements between crude oil and Saudi sector stock markets using wavelet approach and a Value at Risk measure. The results show significant co-movements between crude oil and stock sectoral markets over time and across frequencies. Moreover, these co-movements intensify in the aftermath of the 2008–2009 global financial crisis. Among the fifteen sectors, petrochemical (hotel and tourism industries) sector(s) is (are) the most (least) affected by the upside oil prices movements. Furthermore, bank, agriculture and food industries, telecommunications, media and publishing industries, and hotel and tourism industries sectors are not affected by the recent oil prices plunge following mid-2014. Finally, the Value at Risk analysis is dynamic and higher in low frequency. These results have important implications for investors and policy makers.

Suggested Citation

  • Walid Mensi, 2019. "Global financial crisis and co-movements between oil prices and sector stock markets in Saudi Arabia: A VaR based wavelet," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 19(1), pages 24-38, March.
    • Handle: RePEc:bor:bistre:v:19:y:2019:i:1:p:24-38
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    File URL: https://www.sciencedirect.com/science/article/pii/S2214845017301400
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    More about this item

    Keywords

    Sector stock markets; Oil prices; Global financial crisis; Co-movements; Wavelet approach; VaR analysis;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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