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اختبار أثر التقلب العنقودي لمؤشر تداول باستخدام الارتباط الذاتي المدحرج

Ghassan, Hassan B. and Alhajhoj, Hassan R. (2012): اختبار أثر التقلب العنقودي لمؤشر تداول باستخدام الارتباط الذاتي المدحرج. Published in: Arab Economic and Business Journal , Vol. 8, (2013): pp. 1-5.

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Abstract

This research-project aims to analyze the volatility in the Saudi stock market by examining the volatility clustering using Rolling autocorrelation analysis. By relying on the daily database of returns and volume of market for the period 2001-2010. These changes related to financial reform in 1999 required capital market liberalization, which allowed to some extent foreign investors access to Saudi stock market especially since 2005 just before the initial Free Trade Agreement (FTA). 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 around 11.2002 and 01.2006 seems to be more efficient comparatively to other periods of our sample. Furthermore, from the start of 2010, the rolling autocorrelation varies between ±10%, this explain net extent of the relative stability in stock market. It is observed from 12-22-2002 to 02-25-2006 that the TASI market has known stream-up tendency followed by stream-down tendency, so the development of telecommunications and the big flow of information conducts to accelerate the effects of rumors whenever a bubble is born or other one explode. The shocks processes on volatility market are characterized by the persistence, but their intensity and permanence after the initial liberalization and institutional reforms of the capital market appear to be less in the volume while they seems to be expanded for the stock prices.

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