Title: How COVID-19 pandemic and oil prices drive the Saudi sectors over investment horizons: a wavelet sector-based view

Authors: Chaker Aloui; Sharif Arshian; Noshaba Aziz

Addresses: College of Business Administration, Prince Sultan University, Saudi Arabia ' Universiti Utara Malaysia, 50300, Kuala Lumpur, Malaysia; Department of Business Administration, Faculty of Management Sciences, ILMA University, Karach, Pakistan ' Northwest A&F University, Shaanxi, China

Abstract: The Saudi economy has been severely shaken by the combined shocks inherent to the sharp fall of prices of oil as well as the tremendous propagation of the newly infectious disease (COVID-19). In this study, the focus is given to the assessment of COVID-19 impact on the leading Saudi industrial sectors over the investors' investment horizons. We used three variants of the wavelet methods to achieve the study objective. The main advantage of the wavelet is to isolate the effect of oil price shocks and to account for the Saudi investors' perceptions of the uncertainty inherent in response to the COVID-19 propagation in Saudi Arabia. Moreover, we check the toughness of our results using the nonlinear autoregressive distributed lag (NARDL) model which is restricted to time scales. Our findings reveal a varying pattern of oil and COVID-19 over time scales and frequency bands across sectors. When isolating the oil impact, the COVID-19 effect is relatively low as compared to oil. These results are also supported by the NARDL outcomes. The results of our study propose operational implications for portfolio managers and policy makers and also pave the way for new research avenues.

Keywords: Saudi market; industrial sectors; COVID-19; wavelets; NARDL model.

DOI: 10.1504/AAJFA.2023.132204

Afro-Asian Journal of Finance and Accounting, 2023 Vol.13 No.3, pp.340 - 368

Received: 01 Aug 2020
Accepted: 20 Nov 2020
Published online: 13 Jul 2023 *

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