Volatility in Arab Stock Markets .




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Volatility in Arab Stock Markets



العنوان: Volatility in Arab Stock Markets


الناشر : Arab Planning Institute - Kuwait

المؤلف (المؤلفين): Riad Dahel

التاريخ: 1999

المحتويات :

The purpose of this paper is to investigate whether Arab stock markets are characterized by excessive volatility of returns. To this end, the study includes, in addition to eight Arab stock markets, two emerging and three developed markets. The data consists of weekly stock price indexes over the period extending from October 1994 to November 1998.

After a discussion of the main characteristics of the markets covered, the paper presents the main summary statistics of the weekly returns in these markets. Then, the issue of volatility is tackled through two different measures. The first, the coefficient of variation, measures the degree of volatility of weekly market return relatives. The overall results do not seem to indicate any distinct level of volatility of the returns in Arab markets as a group relative to that of the other two groups.
The second measure of volatility used in this study, the Schwert measure, is obtained from a two-step regression technique and is an estimate of the conditional standard deviation of weekly returns. The Schwert measure is used at the group level so that it could reveal not only the potential trends in volatility of returns in Arab markets but also their level of volatility relative to that of emerging and developed markets. The graphs show that Arab markets exhibit the lowest level of volatility of returns and also that they are not affected by international financial crises. Finally, the study addresses the issue of volatility spillovers. The results indicate that Arab markets are characterized by low correlations with each other and with international markets.