Comparing the distribution of TASI vs other GCC Markets

World markets have been extremely volatile recently. TASI changed -12.68% in 1-month, -25% in 3-months and -31.73% in 12-months. How do the changes in TASI compare to other GCC stock markets?

In this post, I use QQ plots for comparing the log returns distribution of TASI index versus other GCC stock markets indexes. In particular, I want to see how TASI index’s extreme outliers compare with other GCC stock markets. In almost all cases, TASI returns have more extreme outliers than other GCC markets. There is one exception though!

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QQ plot of TASI vs Dubai Financial Market (DFM)

TASI vs  Dubai Financial Market (DFM): in the plot above, the distribution of the Interquartile Range (IQR) seems to be the same. However, TASI returns have more extreme outliers than DFM returns.

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QQ plot of TASI vs Abu Dhabi Securities Exchange (ADX)

TASI vs  Abu Dhabi Securities Exchange (ADX): in the plot above, the distribution of the Interquartile Range (IQR) seems to be the same. However, TASI returns have more extreme outliers than ADX returns.

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QQ plot of TASI vs Kuwait Stock Exchange (KSE)

TASI vs  Kuwait Stock Exchange (KSE): in the plot above, the distribution of the Interquartile Range (IQR) seems to be the same. However, TASI returns have more extreme outliers than KSE returns.

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QQ plot of TASI vs Bahrain Stock Exchange (BSE)

TASI vs  Bahrain Stock Exchange (BSE): in the plot above, the distribution of the Interquartile Range (IQR) seems to be the same. However, TASI returns have more extreme outliers than BSE returns.

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QQ plot of TASI vs Muscat Securities Market (MSM)

TASI vs  Muscat Securities Market (MSM): in the plot above, the distribution of TASI returns seems to be similar to MSM returns even for outliers.

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QQ plot of TASI vs Qatar Securities Market (QE)

TASI vs  Qatar Securities Market (QE): in the plot above, the distribution of the Interquartile Range (IQR) seems to be the same. However, QE is the only GCC market that have more extreme outliers than TASI!

Conclusion: changes in TASI returns is far more extreme when compared to other GCC stock markets returns except Qatar which is even more extreme than TASI.

Thank you.

Updated on Jan 18, 2016: as if the markets is confirming the above stated conclusion, the article Mid-East Massacre: Qatar Crashes, Saudi Stocks Plunge Most Since Black Monday at Zero Hedge reported that “Saudi Arabia’s Tadawul Index is down 5.4% on the day – the worst since August’s collapse and has lost over 50% since its exuberant peak in 2014.” Also, the same article reported that “But Qatar was carnaged… (down over 8%).”

Author: Thamir K. AlHashemi

Practitioner in the fields of quantitative finance and risk management. A lifetime learner. Reading is the only hobby that I haven't failed in ;)

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