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Does credit for equity investments feedback on stock market volatility? Evidence from an emerging stock market

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  • Onour, Ibrahim

Abstract

This paper investigates the causal relationships between volatility in Saudi stock market and banks credit for equity investments. Our finding indicate there is a bi-directional feedback effects between the stock price volatility and banks credit loans. In other words, volatility in private credit for equity investments influence volatility in stock price and vice versa. A policy implication of such result is that regulating private credit loans in banking sector could reduce the upnormal swings in Saudi Stock prices.

Suggested Citation

  • Onour, Ibrahim, 2011. "Does credit for equity investments feedback on stock market volatility? Evidence from an emerging stock market," MPRA Paper 28001, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:28001
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    File URL: https://mpra.ub.uni-muenchen.de/28001/1/MPRA_paper_28001.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    Saudi stock market; Volatility; speculation; banks' credit;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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