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Does the entry of foreign investors influence the volatility of Doha Securities Market?

Author

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  • Abdelgader M.A. Abdullah
  • Hassan B.A. Ghassan

Abstract

The paper examines the presence of structural changes in Doha Securities Market (DSM) by using GARCH models during the period 2002-2008. This issue is related to the market liberalisation reforms permitting foreign investors to enter the equity market in 2005. The analysis reveals a high risk in return equation. The GARCH-Mean model shows that the information flow provided to the market comes from the risk and return variables. There is a high persistence of the shocks in the volatility, but it was less in the first sub-period compared with its persistence after the entry of foreign investors.

Suggested Citation

  • Abdelgader M.A. Abdullah & Hassan B.A. Ghassan, 2010. "Does the entry of foreign investors influence the volatility of Doha Securities Market?," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 3(4), pages 359-373.
    • Handle: RePEc:ids:ijmefi:v:3:y:2010:i:4:p:359-373
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    Citations

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    Cited by:

    1. Ghassan, Hassan B. & Alhajhoj, Hassan R., 2012. "أثر تحرير سوق رأس المال على التذبذب في سوق الأسهم السعودي [Effect of Capital Market Liberalization on Volatility of TASI]," MPRA Paper 54470, University Library of Munich, Germany, revised 2012.
    2. B.T. Katangodage & A.W. Wijeratne, 2016. "Value-weighted price return index for plantation sector of Colombo Stock Exchange of Sri Lanka," International Journal of Agricultural Resources, Governance and Ecology, Inderscience Enterprises Ltd, vol. 12(1), pages 27-52.

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