Mohammed Abdullah Alkathery
Research areas – Energy economics, financial economics and applied econometrics using R, Matlab and Stata.
Thesis abstract – we utilise the stock prices of three Gulf Cooperation Council (GCC) countries namely Saudi, United Arab Emirates (UAE) and Kuwait in four different empirical frameworks. First, we build on Killian’s (2009) approach and use structural vector autoregression (SVAR) to estimate the response of the three GCC stock prices to oil price changes (shocks). In the same multivariate system, we consider the impact of the US stock prices, wherein the foreign ownership limits are supposed as an exogenous factor. Second, we employ three multivariate generalised autoregressive conditional heteroskedasticity (GARCH) models to estimate volatility spillover effects and co-movement among global clean energy production, crude oil price, emission price and conventional energy equities in the same countries. Next, we develop a dependence structure using a multiscale approach of wavelets to investigate the response of each GCC conventional energy stock price to changes in global clean energy production, crude oil price and emission price. Finally, one step ahead value-at-risk (VaR) and the expected shortfall (ES) for the three GCC energy stock prices have been quantified using three long memory ARCH/GARCH models: FIGARCH, FIAPARCH and HYGARCH. Where the three global energy indexes: global clean energy production, crude oil and emission prices are used as regressors.
The first study confirms the significant impact of oil price shocks on the three GCC stock markets, but the impact differs based on the structural characteristics of each of the three GCC stock markets. The US stock market has negatively and symmetrically affected the GCC stock markets as a result of the monetary begging policies between the three countries and the US. The second research proves that the current volatilities in the three GCC energy stock markets are highly persistent and largely driven by past endogenous shocks of the same market and partially by shocks of other markets. The third study postulates that the three global energy markets: global clean energy production, oil prices and emission weakly and positively influence the GCC energy stock prices at lower frequencies (higher scales). Finally, the VaR and ES of the three GCC energy stock price indexes have been statistically quantified. This thesis helps policymakers, portfolio managers as well as scholars to understand the response of traditional energy sectors in oil-exporting countries to transformations in the global energy markets.
- BSc Economics at Imam Muhammad Ibn Saud Islamic University, Saudi Arabia
- MSc Economics at Imam Muhammad Ibn Saud Islamic University, Saudi Arabia
Research groups and institutes
- Applied Institute for Research in Economics