Wavelet analysis for Arab stock markets Co-movements

Abstract EN

This study aims to investigate the Arab stock markets co-movements among four countries (Jordan, Saudi Arabia, Egypt and Morocco) using the Wavelet coherence method to illustrate the level of interdependence between them from 2014 to 2018.

The method of Wavelet coherence transforms time series data into a frequency that makes it easier to analyse the correlation between time series.

The results show that EGX30 index have a strong interdependence with Casablanca index and Saudi index in the long term, and Amman index have a strong interdependence in the shorter term with EGX30 index and Casablanca index, the results show also that Saudi index have a slightly low correlation with Casablanca and Amman indices.