基于小波的海合会股票市场系统风险估计及禁运对卡塔尔案例的影响

IF 3.2 Q1 BUSINESS, FINANCE
A. Mabrouk, Sabrine Arfaoui, Mohamed Essaied Hamrita
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引用次数: 0

摘要

系统风险是市场形势研究中常用的指标之一。对市场指数进行科学研究的缺点之一是,模型中没有涉及禁运和其他危机等极端变化。本文试图利用小波作为一种数理统计工具来研究禁运对系统风险的影响。所提出的数学模型应用于高尔夫理事会国家(GCC)市场的情况,卡塔尔的情况是一个禁运国家的例子。所应用的时间序列对应于2017年1月1日至2021年12月31日期间卡塔尔证券交易所指数的活跃交易,这一时期的特点是海湾合作委员会对卡塔尔的主要禁运期。本研究的发现有助于理解这种危机对市场的影响,并允许很好地描述禁运期间的市场行为,这为管理者、政策制定者和投资者提供了良好的基础。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Wavelet-based systematic risk estimation for GCC stock markets and impact of the embargo on the Qatar case
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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来源期刊
CiteScore
0.30
自引率
1.90%
发文量
14
审稿时长
12 weeks
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