أثر تحرير سوق رأس المال على التذبذب في سوق الأسهم السعودي

Ghassan, Hassan B. and Alhajhoj, Hassan R. (2012): أثر تحرير سوق رأس المال على التذبذب في سوق الأسهم السعودي. Published in: Journal of Development and Economic Policies , Vol. 14, No. 2 (2012): pp. 7-39.

Abstract

The results of return equation exhibit the existence of a positive relationship between return and risk, which indicates the high risk and explains the dynamics of shareholders behavior, especially on Saturday and Tuesday, where utmost important information is excreted. The findings highlight that the period of openness to domestic and foreign capital is characterized by more important flow of information. Also the share prices have a memory, especially in the first sub-period, while during the second sub-period this memory is weaker. Furthermore, it is proved that the access of foreign investors could reduce the return volatility of TASI. From the EGARCH-M models, it is reflected through the leverage effect that negative shocks increase the volatility more than positive shocks. The CGARCH-M results show through the volatility persistence rate and decay rate that short-run volatilities perpetuates less than long-run volatilities. It turns out that the liberalization to foreign investment leads to reduce significantly the volatility mostly in the short term, while the foreign presence has not managed so far to reduce the volatility in the long run. Also it is revealed during the 2006 crisis, that the extent of transitory effect is more severe and relatively broader compared to the effect of the international financial crisis in particular during 2008.

• Item Type: MPRA Paper
• English Title: Effect of Capital Market Liberalization on Volatility of TASI
• Language: Arabic
• Keywords: Capital market, Liberalisation, Volatility, TASI, Saudi Arabia
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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