Co-movement between GCC stock markets and the US stock markets: A wavelet coherence analysis

In this article, the co-movement between GCC and US stock market returns was investigated using wavelet coherence method. The Dynamic Conditional Correlation GARCH (DCC-GARCH) modelling is then applied on time-varying components in order to provide a point of comparison with results extracted from analysis. investigation conducted weekly index prices two USA markets, namely Dow Jones S&P 500 six United Arab Emirates, Saudi Arabia, Qatar, Oman, Kuwait, Bahrain. data were retrieved Thomson Reuters’s stream sample duration 7 January 2007 24 June 2018. As result, definite several markets those for long term found. Moreover, also displayed signs significant disparity co-movements throughout scales time during economic decline. This phenomenon possibly expected decline, where divergence occurred as opposed co-movement. implications findings global investors considerable due indication long-term that these would not be capable gaining simultaneous profit portfolio being diversified. fact, showed major difference opportunities international diversification terms scale time.