Oil and Gold Return Spillover Effect on The Elasticity of Stock Markets

This dissertation aimed to achieve two primary goals. First, I studied the elasticity spillover effect in the Middle East financial market. Second, I studied the return spillover effect of oil and gold on the elasticity of financial markets in a group of Middle Eastern countries. To achieve these goals, I used the latest method to test the time effect during time variation. For instance, I employed bivariate and partial wavelet tests to visualize the association and the effect during the time domain. The results indicated an interaction between oil-exporting countries, while it is less for importing countries. The Saudi market is also the largest source for determining the elasticity of the Middle East markets. The Jordanian, Turkish, and Kuwaiti markets are the most affected by the elasticity of the region's markets. Finally, the Bahraini market is considered one of the financial markets least influenced by the elasticity of the region's markets. In contrast, the Egyptian and Bahraini markets interact the least with the other financial markets in the Middle East. Moreover, I found a heterogeneous impact of oil and gold returns on stock market elasticity. In contrast, oil returns significantly affected elasticity in most oilexporting countries. Additionally, the elasticity of financial markets in oil-importing countries only slightly impacted the movement of oil returns. The impact of oil and gold returns also varied among short, medium, and long-term periods; gold returns were greater for Kuwait, Bahrain, Saudi Arabia, and Jordan. Additionally, the impact of oil was more in Qatar, Bahrain, and Egypt, whereas the effect of gold and oil was equal in Turkey. Lastly, the COVID-19 pandemic significantly affected the elasticity of financial markets.