Global Financial Crisis and Co-movements between Oil Prices and Sector Stock Markets in Saudi Arabia: A VaR based Wavelet

@inproceedings{Mensi2017GlobalFC,
  title={Global Financial Crisis and Co-movements between Oil Prices and Sector Stock Markets in Saudi Arabia: A VaR based Wavelet},
  author={Walid Mensi},
  year={2017}
}
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… CONTINUE READING