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.

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.

• 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 (2012) »أثر تحرير سوق الرأسمال في سوق الأسهم السعودي« مجلة التنمية والسياسات الاقتصادية (يوليو July المقبل).

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

3. سامبا (2009) »السوق المالية السعودية: مسائل هيكلية أداء السوق في الآونة الأخيرة والتوقعات للفترة المقبلة« سلسلة تقارير، ديسمبر.

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

5. Bekaert G. and CR. Harvey and C. Lundblad (2006) «Growth volatility and financial liberalization» Journal of International Money and Finance 25, 370-403.

6. Bekaert G. and CR. Harvey (2000) «Foreign speculators and emerging equity markets» Journal of Finance 55, 565-613.

7. Bekaert G. and CR. Harvey (2002) «Research in emerging markets finance: Looking to the future» Emerging Markets Review 3, 429-448.

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

9. Chari A. and P. Henry (2004) «Risk sharing and asset prices: evidence from a natural experiment» Journal of Finance, 59, 1295–1324.

10. Cheng A., MR. Jahan-Parvar and P. Rothman (2010) «An empirical investigation of stock market behavior in the Middle East and North Africa» Journal of Empirical Finance 17, 413-427.

11. Cunado J. and JG. Bscarri and FP. De Gracia (2006) «Changes in dynamic behavior of emerging market volatility: Revisiting the effects of financial liberalization» Emerging Markets Review 7, 261-278.

12. Jayasuriya S. (2005) «Stock market liberalization and volatility in the presence of favorable market characteristics and institutions» Emerging Markets Review 6, 171-191.

13. Joshi P. and K. Pandya (2008) «Exploring movements of stock price volatility in India» The Icfai Journal of Applied Finance, Vol. 14(3), 5-32.

14. LeBaron B. (2008) «Robust properties of stock return tails» Technical Report. International Business School, Brandeis University.

15. Lobato I. and C. Velasco (2000) «Long memory in stock market trading volume» Journal of Business and Economic Statistics 18, 410-427.

16. Levine R. and S. Zervos (1998) «Capital market liberalization and stock market development» World Development 26, 1169–1183.

17. Lo A. and C. MacKinlay (1988) «Stock market prices do not follow random walks: Evidence from a simple specification test» Review of Financial Studies 1, 41-66.

18. Mandelbrot BB. (1963) «The variation of certain speculative prices» Journal of Business XXXVI, 392–417.

19. Miles W. (2002) «Financial deregulation and volatility in emerging equity markets» Journal of Economic Development 27, 113-126.

20. Stiglitz JE. (2000) «Capital market liberalization, economic growth, and instability» World Development 28, 1075-1086.

21. Tseng, JJ. and SP. Li (2012) «Quantifying volatility clustering in financial time Series» International Review of Financial Analysis 23:11-19.