Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/320153 
Year of Publication: 
2020
Citation: 
[Journal:] The European Journal of Comparative Economics (EJCE) [ISSN:] 1824-2979 [Volume:] 17 [Issue:] 1 [Year:] 2020 [Pages:] 31-54
Publisher: 
University Carlo Cattaneo (LIUC), Castellanza
Abstract: 
This paper examines the impact of the exchange rate, oil price and gold price on the Kuwaiti stock market using a wavelet analysis, namely, cross-wavelet coherency and partial cross-wavelet coherency. This method is used to test for nonlinear causality and decompose the data into various time frequencies to better understand various investment horizons. These interactions were examined based on daily observations from 02 January 1996 to 28 September 2017. The findings show a positive relationship between stockmarket and exchange rate in all frequencies. This relationshipis being remarkably weak once the impact of oil price is removed. Besides, the correlation between the stock market and oil price is positive in low-frequency bands and will be reduced after eliminating the effect of the exchange rate. Regarding gold price, there is only a negative short-term relationship with the stock market during crisis periods. In summary, the impact of oil price is indirectly positive on the stock market by leading the movement of the exchange rate.
Subjects: 
Wavelet
Kuwaiti stock market
Exchange rate
Oil prices
Gold prices
JEL: 
G15
D53
Q02
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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