Onour, Ibrahim (2011): Does credit for equity investments feedback on stock market volatility? Evidence from an emerging stock market.
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This paper investigates the causal relationships between volatility in Saudi stock market and banks credit for equity investments. Our finding indicate there is a bi-directional feedback effects between the stock price volatility and banks credit loans. In other words, volatility in private credit for equity investments influence volatility in stock price and vice versa. A policy implication of such result is that regulating private credit loans in banking sector could reduce the upnormal swings in Saudi Stock prices.
|Item Type:||MPRA Paper|
|Original Title:||Does credit for equity investments feedback on stock market volatility? Evidence from an emerging stock market|
|Keywords:||Saudi stock market, Volatility, speculation, banks' credit|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - General
|Depositing User:||A Onour|
|Date Deposited:||11. Jan 2011 21:36|
|Last Modified:||22. Jan 2015 02:32|
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