Oil and gold market fluctuations and their impact on stock returns within the framework of COPULA-CoVaR-MODWT models
An applied study in the Iraq Stock Exchange for the period (31/3/2023-2/1/2020)
A thesis submitted to the Council of the College of Administration and Economics University of Karbala,
An part of requirements to obtain Doctor Degree of Philosophy in Banking and Finance
BY:
Dheyaa Muhammad Abd Radhi Al-Sharifi
Under The SupervisionProf. Dr. Ali Ahmed Faris Al-Kaabi
Abstract:
The aim of this research is to measure and analyze the fluctuations of oil and gold prices in the financial markets, measure and analyze stock returns in the Iraqi Stock Exchange, measure the impact of oil and gold market fluctuations on the prices and returns of stocks in the Iraq Stock Exchange, and to verify the extent of the impact of oil and gold market fluctuations on listed companies. In the Iraqi Stock Exchange, whose business is linked to oil and gold, comparing this impact and what is the outcome of this impact on the market as a whole, and examining the long-term and short-term impact of the oil markets and gold markets on the performance of the Iraqi Stock Exchange. There is a close reciprocal impact relationship between oil prices and gold prices on the one hand. And stock returns in different sectors, on the other hand, as the degree of this relationship varies from one sector to another, and this effect may be measured directly (direct effect) or measured indirectly (indirect effect). This relationship between the studied variables may appear in the short or long term. The impact relationship was measured with a group of different statistical tools, depending on the relative importance, size and type of impact to be measured, as well as the nature of the available data, and the method used to evaluate the impact, through the static and dynamic copula models. Since measuring the impact is accompanied by risks, the risks of fluctuations in gold prices and oil prices in stock returns in the sectors under study were measured by using the conditional value at risk method. Fluctuations in oil and gold prices and their impact on the stock prices of the sectors under study were studied. across different time frequencies, in light of employing the maximum overlap discrete wavelet transform method. These models were applied to measure the impact of oil and gold price fluctuations on stock returns for a group of sectors for the period from 1/2/2020 to 31/ 3/2023, with a number of daily views amounting to (1185) views, as described: Return of the Iraq Stock Exchange Index, Commercial Bank, Bank of Baghdad, Asia cell Company, Al-Karkh Tourist Games Company, and Al-Mamoura Real Estate Company. Investments, Al-Mansour Pharmaceutical Industries Company, Baghdad Soft Drinks Company, Chemical and Plastic Industries Company. All the aforementioned models were analyzed through the use of a package of statistical software (R- Programming). Overall, the empirical results of the Copula-CoVaR-MODWT models indicate that the Iraqi stock market suffers from risk spillovers from the oil market, and that the spillover effects have distinct, volatile, and time-varying characteristics. Research can not only help investors control risks and create diversified portfolios, but also help policymakers better control systemic risk.
