اختبار أثر التقلب العنقودي لمؤشر تداول باستخدام الارتباط الذاتي المدحرج

Ghassan, Hassan B. and Alhajhoj, Hassan R. (2013): اختبار أثر التقلب العنقودي لمؤشر تداول باستخدام الارتباط الذاتي المدحرج. Published in: Arab Economic and Business Journal , Vol. 8, (2013): pp. 1-5.

Abstract

Capital market liberalization allows the access of foreign investors to Saudi stock market especially since 2005. The test of adaptation to the market volatility exhibits the existence of the volatility clustering in the daily return and volume of traded shares. This finding is corroborated by the absence of variance homoscedasticity using BF test. Also, the results indicate that the period between 11.2002 and 01.2006 is more efficient comparatively to other periods. Furthermore, from the start of 2010, there is a relative stability in stock market. The shocks on volatility market are persistent, but their intensity and permanence after the initial liberalization and institutional reforms of the capital market appear to be less in the volume, but more expanded in the prices.

• Item Type: MPRA Paper
• English Title: Test of Clustering Volatility of TASI index using Rolling Autocorrelation
• Language: Arabic
• Keywords: Rolling serial correlation, TASI, Return, Foreign capital Saudi Arabia
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

References

[1] غصان حسن والهجهوج حسن. أثر تحرير سوق الرأسمال في سوق الأسهم السعودي. مجلة التنمية والسياسات الاقتصادية 2012، 14(2): xx-xx. http://www.arab-api.org/jodep/jodep142.htm

[2] مؤشر سوق الأسهم، السوق المالية السعودية (تداول)، الرياض. http://www.tadawul.com.sa/wps/

[3] سامبا. السوق المالية السعودية: مسائل هيكلية أداء السوق في الآونة الأخيرة والتوقعات للفترة المقبلة. سلسلة تقارير، ديسمبر 2009.

[4] Al-Rodhan KhR. The Saudi and Gulf stock markets: Irrational exuberance or markets efficiency? Center for strategic and international studies CSIS 2005, Washington, 1-11.

[5] Bekaert G., CR. Harvey and C. Lundblad. Growth volatility and financial liberalization. Journal of International Money and Finance 2006; 25:370-403.

[6] Bekaert G. and CR. Harvey. Research in emerging markets finance: Looking to the future. Emerging Markets Review 2002; 3:429-448.

[7] Bekaert G. and CR. Harvey. Foreign speculators and emerging equity markets. Journal of Finance 2000; 55:565-613.

[8] Cunado J., JG. Bscarri, FP. De Gracia. Changes in dynamic behavior of emerging market volatility: Revisiting the effects of financial liberalization. Emerging Markets Review 2006; 7:261-278.

[9] Chari A. and P. Henry. Risk sharing and asset prices: evidence from a natural experiment. Journal of Finance 2004; 59:1295–1324.

[10] Jayasuriya S. Stock market liberalization and volatility in the presence of favorable market characteristics and institutions. Emerging Markets Review 2005; 6:171-191.

[11] Harvey C., and R., Huang. Volatility in the foreign exchange futures markets. Review of Financial Studies 1991; 4:543–570.

[12] Joshi P. and K. Pandya. Exploring movements of stock price volatility in India. The Icfai Journal of Applied Finance 2008, 14(3):5-32.

[13] LeBaron B. Robust properties of stock return tails. Technical Report. International Business School, Brandeis University. 2008.

[14] Lobato I. and C. Velasco «Long memory in stock market trading volume» Journal of Business and Economic Statistics 2000; 18:410-427.

[15] Levine R. and S. Zervos «Capital market liberalization and stock market development» World Development 1998; 26:1169–1183.

[16] Lo A. and C. MacKinlay. Stock market prices do not follow random walks: Evidence from a simple specification test. Review of Financial Studies 1988; 1:41-66.

[17] Mandelbrot BB. The variation of certain speculative prices. Journal of Business 1963; XXXVI:392–417.

[18] Miles W. Financial deregulation and volatility in emerging equity markets. Journal of Economic Development 2002; 27:113-126.

[19] Stiglitz JE. Capital market liberalization, economic growth, and instability. World Development 2000; 28:1075-1086.

[20] Tseng, JJ. and SP. Li. Quantifying volatility clustering in financial time Series. International Review of Financial Analysis 2012; 23:11-19.