Onour, Ibrahim (2011): Does credit for equity investments feedback on stock market volatility? Evidence from an emerging stock market.
Download (417kB) | Preview
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:||18 Feb 2016 17:10|
Abraham A. and S. Fazal. 2006. Information transmission between the Gulf equity markets of Saudi Arabia and Bahrain. Resrearch in International Business and Finance Vol.20, Issue 3: 276-285.
Arab Monetary Fund. Various statistical reports. Abu Dhabi, United Arab Emirates.
Bauwens, L., S. Laurent and J. Rombouts. 2003. Multivariate GARCH models: A Survey. CORE discussion paper (2003/31), Department of Economics, Universite Catholique de Louvian, Belgium.
Bollerslev, T. 1990. Modelling the cohernce in shortrun nominal exchange rates: A multivariate generalized ARCH approach. Review of Economics and Statistics 72:498-505.
__________, R. Engle. and J. Wooldridge. 1988. A capital asset pricing model with time-varying covariances. Journal of Political Economy 96:116- 131.
Brock W., W. Dechert and J. Scheinkman. 1996. A test for independence based on correlation dimension. Econometric Reviews Vol. 15, No.3: 197-235.
Cheung, Y. and L. Ng. 1996. A causality-in-variance test and its application to financial market prices. Journal of Econometrics 72:33-48.
Dicky, D.A; and Fuller W.A; (1981) “Liklihood Ratio Statistics For Autoregressive Time Series With a Unit Root”, Econometrics, Vol 49, pp. 1057 1072. Dicky, D.A; and Fuller W.A; (1979) “Distribution of the Estimators for Autoregressive Time Series With a Unit Root” Journal of American Statistical Association, 74, 427-431. Engle, R. and K. Kroner. 1995. Multivariate simultaneous generalized ARCH. Econometric Review 11:122-150.
Eun C. and S. Shim. 1989. International transmission of stock market movements. Journal of Financial and Quantitative Analysis 24: 241-256.
Hamao, Y., R. Masulis, and V. Ng. 1990. Correlation in price changes and volatility: A cross international stock markets. Review of Financial Studies Vol. 3: 281-307.
Johansen, S., and Juseilus, K., (1990) “Maximum Liklihood Estimation and Inference On Cointegration – With Application to The Demand For Money, Oxford Bulletin of Economics and Statistics,52, 169-210.
King M. and S. Wadhwani . 1990. Transmission of volatility between stock markets. Review of Financial Studies 3:5-33.
Kocenda, E.and L. Briaka. 2005. Advancing the iid test based on integration acroos the correlation integral, ranges, and power. Econometric Reviews Vol.24, No. 3: .265-295.
Newey W. and D. Steigerwald. 2008. Consistency of quasi-maximum likelihood estimators for models with conditional heteroskedasticity. Social Science Research Network Electronic Library. Working Paper Series. Internet website: http://ssrn.com/abstract=6592.
Ng, S.; Perron, P.; (1993b), Unit Root Tests in ARMA Models with Data Dependent Methods for The Selection of the Truncation Lag, (Manuscript), C.R.D.E., University of Montreal, Quebec. Saudi Arabian Monetary Agency, Statistical Monthly reports. http://www.sama.gov.sa/sites/samaen/ReportsStatistics/statistics/Pages/Home.aspx