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

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.