Saudi Cultural Missions Theses & Dissertations
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Item Restricted Comparative Analysis of Exchange Rate Forecasting Models:(The University of Leeds, 2024-08) Aldawsari, Thuraya; Zhang, XilingThis dissertation critically evaluates the effectiveness of the random walk model for daily ex- change rate forecasting against some standard models, including ARIMA, GARCH, and a more advanced model, which is SETAR. The study aims to assess the performance of these models in exchange rate modeling and to compare their performance in out-of-sample forecasting across short, medium, and long-term horizons. The analysis utilizes the root mean square error in measuring the predictive accuracy of these models for daily exchange rate data for various currency pairs, such as GBP/SAR, GBP/KWD, and GBP/EUR. The evidence indicates that the RW model is very efficient at short-run daily exchange rate forecasting; most of the time, it performs as well as, if not better than, the more complicated counterparts. This is in line with the theoretical underpinning of the RW model: If no trends or patterns are observed, the current price can be considered the best predictor for fu- ture prices. However, for medium- and long-term forecasting of daily exchange rates, the study finds that models like ARIMA ensure better accuracy by capturing the underlying trends and seasonality. On the same note, the GARCH model is good at modeling time-varying volatility, while the SETAR model has a special edge in the capturing of multi-linear dynamics and regime shifts.5 0Item Restricted The Effects of Oil Price Variations on Stock Market Returns: Evidence from Saudi Arabia and Spain(Birkbeck, University of London, 2024-10) Alzamel, Hussah Adnan; Beckert, WalterThis study investigates the effects of oil price variations on stock market performance in Saudi Arabia and Spain. Specifically, we employ the autoregressive distributed lag model to estimate the effects of oil price changes on stock market returns in these net oil-exporting and oil- importing nations, respectively. The empirical findings suggest that, in both cases, oil price increases led to corresponding increases in stock market returns. However, the stock markets of both countries reacted differently to oil price changes during the COVID-19 pandemic, which caused a massive slump in global demand. In Saudi Arabia, a nation whose economy relied heavily on oil, the impact was negative, whereas in Spain, the impact was positive. Using the generalised autoregressive conditional heteroskedasticity (1,1) model, we also modelled volatility in the stock returns and found that oil price increase reduced volatility in the stock returns. Keywords: Saudi Arabia, Spain, ARDL, GARCH, oil prices, stock returns33 0Item Restricted Beyond Bonds: Unlocking Sukuk's Potential in Hedge Fund Portfolios Amidst Market Volatility, an ARCH and GARCH Models Analysis(King's College London, 2023-09-14) Ajaj, Mohammed; Papailias, FotisThe global financial ecosystem, which is fraught with economic uncertainty and turbulent bear markets, drives hedge funds to seek for alternative investment opportunities that promise stability and substantial returns. In this context, the potential of Sukuk, an Islamic alternative to conventional Bonds, is examined in comparison to Bonds, particularly during bear markets. Despite abundant research on Sukuk and conventional Bonds, a quantitative comparison analysis, particularly one focusing on GCC Sukuk, remains relatively unexplored. This work fills this need by modelling the financial time series of these instruments using the Capital Asset Pricing Model (CAPM) and Autoregressive Conditional Heteroskedasticity (ARCH) and its generalized counterparts (GARCH & EGARCH). Preliminary findings indicate that Sukuk, due to their asset-backed nature, demonstrate exceptional resilience during economic downturns. Because of their low market sensitivity, Sukuk have the ability to diversify hedge fund portfolios, according to the CAPM model research. In addition, the GARCH and EGARCH models revealed a divergence in volatility patterns between Sukuk and Bonds between 2020 and 2023, emphasizing Sukuk's resilience to negative shocks. To summarize, while Sukuk looks to offer various advantages over conventional Bonds, particularly in bear markets, financial practitioners are recommended to take a balanced approach, always re-evaluating their investment strategies in the ever-changing finance landscape.10 0