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اختبار أثر التقلب العنقودي لمؤشر تداول باستخدام الارتباط الذاتي المدحرج
[Test of Clustering Volatility of TASI index using Rolling Autocorrelation]

Author

Listed:
  • Ghassan, Hassan B.
  • Alhajhoj, Hassan R.

Abstract

Capital market liberalization allows the access of foreign investors to Saudi stock market especially since 2005. 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 between 11.2002 and 01.2006 is more efficient comparatively to other periods. Furthermore, from the start of 2010, there is a relative stability in stock market. The shocks on volatility market are persistent, but their intensity and permanence after the initial liberalization and institutional reforms of the capital market appear to be less in the volume, but more expanded in the prices.

Suggested Citation

  • Ghassan, Hassan B. & Alhajhoj, Hassan R., 2013. "اختبار أثر التقلب العنقودي لمؤشر تداول باستخدام الارتباط الذاتي المدحرج [Test of Clustering Volatility of TASI index using Rolling Autocorrelation]," MPRA Paper 54630, University Library of Munich, Germany, revised 2013.
    • Handle: RePEc:pra:mprapa:54630
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Rolling serial correlation; TASI; Return; Foreign capital Saudi Arabia;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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