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

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

International Journal of Monetary Economics and Finance, 2010, vol. 3, issue 4, 359-373

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.

Keywords: DSM; Doha securities market; EGARCH; Qatar; returns; market volatility; structural change; market reforms; market liberalisation; foreign investors; equity markets; information flow; market risks; risk assessment. (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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