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Trend of oil prices, gold, GCC stocks market during Covid-19 pandemic: A wavelet approach

This paper analyzed the co-movement among the stock indices of GCC members like Abudhabi, Bahrain, Oman, Saudi Arabia, Qatar and global oil prices as indicated by Brent, WTI. Gold, S&P 500 index and Dow Jones index has also been taken into account. Daily prices from January 2, 2020 up to September 30, 2020 were used for the analysis. In order to analyze the co-movement among the above mentioned indices in time frequency space wavelet transform approach has been used. The techniques employed in the study include wavelet correlation and wavelet coherence approach. The findings of this empirical study suggests that though there was no much interconnectedness among the above mentioned factors in the short run, the impact of the global pandemic crisis that got added to the oil price shock could be seen in the medium and long run. The study suggests that investors need to be cautious of their investment decisions with respect to the time horizon as these markets show significant co-movement in the long run when hit by global crisis. | International Journal of Energy Economics and Policy ISSN 2146-4553 available at http www.econjournals.com International Journal of Energy Economics and Policy 2021 11 4 560-572. Trend of Oil Prices Gold GCC Stocks Market during Covid-19 Pandemic A Wavelet Approach Aqila Rafiuddin1 Jennifer Daffodils2 Jesus Cuauhtemoc Tellez Gaytan3 Gyanendra Singh Sisodia4 1 College of Business Administration University of Science and Technology of Fujairah United Arab Emirates 2Freelance Trainer Kuwait 3Tecnologico de Monterrey Mexico 4College of Business Administration Ajman University United Arab Emirates. Email singh_gis@yahoo.co.in Received 17 February 2020 Accepted 24 April 2021 DOI https doi.org 10.32479 ijeep.11365 ABSTRACT This paper analyzed the co-movement among the stock indices of GCC members like Abudhabi Bahrain Oman Saudi Arabia Qatar and global oil prices as indicated by Brent WTI. Gold S amp P 500 index and Dow Jones index has also been taken into account. Daily prices from January 2 2020 up to September 30 2020 were used for the analysis. In order to analyze the co-movement among the above mentioned indices in time frequency space wavelet transform approach has been used. The techniques employed in the study include wavelet correlation and wavelet coherence approach. The findings of this empirical study suggests that though there was no much interconnectedness among the above mentioned factors in the short run the impact of the global pandemic crisis that got added to the oil price shock could be seen in the medium and long run. The study suggests that investors need to be cautious of their investment decisions with respect to the time horizon as these markets show significant co-movement in the long run when hit by global crisis. Keywords Oil Prices GCC Stock Indices Co-movement Wavelet Analysis JEL Classifications G01 G15 C32 1. INTRODUCTION and price reactions in financial markets Lam et al. 2020 . World leading economies have significantly affected the .