Wavelet-based systematic risk estimation for GCC stock markets and impact of the embargo on the Qatar case

Anouar Ben Mabrouk; Sabrine Arfaoui; Mohamed Essaied Hamrita; Anouar Ben Mabrouk; Sabrine Arfaoui; Mohamed Essaied Hamrita

doi:10.3934/QFE.2023015

Quantitative Finance and Economics

2023, Volume 7, Issue 2: 287-336. doi: 10.3934/QFE.2023015

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Research article

Wavelet-based systematic risk estimation for GCC stock markets and impact of the embargo on the Qatar case

1.
Department of Mathematics, Faculty of Science, University of Tabuk, King Faisal road, 47512 Tabuk, Saudi Arabia
2.
Laboratory of Algebra, Number Theory and Nonlinear Analysis, Department of Mathematics, Faculty of Sciences, University of Monastir, Avenue of the Environment, 5019 Monastir, Tunisia
3.
Department of Mathematics, Higher Institute of Applied Mathematics and Computer Science, University of Kairouan, Street of Assad Ibn Alfourat, 3100 Kairouan, Tunisia
4.
Département d'Informatique, Institut Supérieur d'Informatique du Kef, Université de Jendouba, Rue Saleh Ayech, 7100 Kef, Tunisia
5.
Département d'Économie et Méthodes Quantitatives, Institut des Hautes Études Commerciales de Sousse, Université de Sousse, Route de la ceinture, Sahloul 3 - 4054 Sousse, Tunisia

Received: 13 February 2023 Revised: 08 May 2023 Accepted: 29 May 2023 Published: 07 June 2023
JEL Codes: G11, C02, C22

Systematic risk is one of the well-known indices involved in the market situation study. One of the disadvantages of scientific studies of market indices is the lack of involving extreme changes such as embargos and other crises in the model. The present paper attempts to study the impact of the embargo on systematic risk using wavelets as a mathematical-statistical tool. The proposed mathematical model was applied to the case of the Golf Council Countries (GCC) market, with the Qatar case as an example of an embargoed country. The time series applied corresponds to the Qatar stock exchange index active trade over the period January 01, 2017, to December 31, 2021, which was characterized by the main GCC embargo period against Qatar. The findings in the present work permit understanding the impact of such a crisis on the market and allow a good description of the behavior of the market during the embargo, which makes a good basis for managers, policymakers, and investors.
- wavelets CAPM,
- systematic (market) risk,
- scaling,
- GCC stock markets,
- Qatar exchange All Shares (QEAS),
- Embargo
Citation: Anouar Ben Mabrouk, Sabrine Arfaoui, Mohamed Essaied Hamrita. Wavelet-based systematic risk estimation for GCC stock markets and impact of the embargo on the Qatar case[J]. Quantitative Finance and Economics, 2023, 7(2): 287-336. doi: 10.3934/QFE.2023015

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Abstract

Systematic risk is one of the well-known indices involved in the market situation study. One of the disadvantages of scientific studies of market indices is the lack of involving extreme changes such as embargos and other crises in the model. The present paper attempts to study the impact of the embargo on systematic risk using wavelets as a mathematical-statistical tool. The proposed mathematical model was applied to the case of the Golf Council Countries (GCC) market, with the Qatar case as an example of an embargoed country. The time series applied corresponds to the Qatar stock exchange index active trade over the period January 01, 2017, to December 31, 2021, which was characterized by the main GCC embargo period against Qatar. The findings in the present work permit understanding the impact of such a crisis on the market and allow a good description of the behavior of the market during the embargo, which makes a good basis for managers, policymakers, and investors.

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