Ghassan, Hassan and Abdullah, Abdelgader (2009): Does the entry of foreign investors influence the volatility of Doha Securities Market? Published in: International Journal of Monetary Economics and Finance , Vol. 3, No. 4 (2010): pp. 359-373.
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Abstract
The paper analyzes the time variation in volatility in the Doha Securities Market and examines the presence of structural changes in GARCH-based conditional volatility during the period 2002-2008. This issue is related to the market liberalization reforms permitting foreign investors to enter the equity market in 2005. The analysis reveals that there is a high risk in the return equation. It also indicates that the return is positively and more significantly related to the risk. The GARCH-Mean model shows that the volume term has a more significant parameter in both return and risk equations and that the information flow provided to the market comes from the risk and return variables. There is a high persistence of the shocks in the volatility, but it was less in the first sub-period compared to its persistence after the entry of foreign investors.
https://www.inderscience.com/info/inarticle.php?artid=35597
Item Type: | MPRA Paper |
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Original Title: | Does the entry of foreign investors influence the volatility of Doha Securities Market? |
English Title: | Does the entry of foreign investors influence the volatility of Doha Securities Market? |
Language: | English |
Keywords: | Doha Securities Market, EGARCH, Qatar, Return, Volatility |
Subjects: | C - Mathematical and Quantitative Methods > C5 - Econometric Modeling C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets |
Item ID: | 122989 |
Depositing User: | Professor Hassan Ghassan |
Date Deposited: | 24 Dec 2024 10:19 |
Last Modified: | 24 Dec 2024 10:19 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/122989 |
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Does the entry of foreign investors influence the volatility of Doha Securities Market? (deposited 19 Aug 2019 10:34)
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