Market volatility and illiquidity during the COVID-19 outbreak: Evidence from the Saudi stock exchange through the wavelet coherence approaches

Oil and gold return spillover and stock market elasticity during COVID-19 pandemic: A comparative study between the stock markets of oil-exporting countries and oil-importing countries in the Middle East

“…These results are consistent with Tissaoui et al (2021) , who concluded that the direction of the relationship between oil return and stock market liquidity varies. Our findings indicate that the oil and gold effect is limited in the short-term and medium-term periods.…”

“… Wang et al (2021) used the multistage approach (e.g., wavelet coherence and GARCH-EVT-VaR model) to investigate the nonlinear oil-gold connection, concluding that gold is still a safe haven against stock market volatility. Tissaoui et al (2021) used wavelet coherency approach to examine the effect of COVI-19 on the liquidity of Saudi stock market. They concluded that the direction of the relationship between oil return and stock market liquidity varies during the pandemic outbreak.…”

Illiquidity, Uncertainty Indices, and COVID‐19 Outbreak Conditions: Empirical Evidence from the US Financial Market

“…Overall, regardless the arrow direction, it is worth to note that there is a positive and significant coherency between illiquidity and VIX index over the sample period and across all frequencies. In low scales corresponding to (2)(3)(4) and (4)(5)(6)(7)(8), the arrows are pointed to the right and up indicating that illiquidity causes increases in US implied volatility. However, VIX is leading the US illiquidity in the medium and high scales (i.e., medium and long-term horizons) in the middle of the sample period (May 2020-September 2020).…”

“…Understanding the dynamics of liquidity in the financial market is very important for market participants and policymakers. Many authors such as Chordia et al [1], Ma et al [2], Tissaoui and Ftiti [3], and Tissaoui et al [4] have suggested that a better assessment of liquidity can give investors the opportunity to improve their trading strategy by monitoring liquidity risks. is in turn allows for an effective and efficient use of funds and gives them greater certainty about the future.…”

How Volatility and Herding of the Stock Markets in the Oceania Region Influence Investors and Policymakers: A Sector-Wise Exploration in Pre and Post-COVID Period

“…Neural Network Model is used in forecasting implied volatility by Liu et al (2021). Tissaoui et al (2021) investigate the impact of volatility on the illiquidity of the Saudi stock market through an ARDL approach. Furthermore, they use the MWC plots to ratify their findings.…”