ARAB STOCK MARKET AND THE GLOBAL ECONOMIC CRISIS: SOME CASES ANALYSES

Mokhtar Maazouz
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Mokhtar Maazouz: Msila University

Theoretical and Applied Economics, 2009, vol. 12(541)(supplement), issue 12(541)(supplement), 786-793

Abstract: The purpose of this paper is to investigate whether Arab stock markets are characterized by excessive volatility of returns after the global crisis economic. In this study, the Schwert measure is obtained from a two-step regression technique and is an estimation of the conditional standard deviation of weekly returns. The Schwert measure 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 market.

Keywords: stock market; financial and economic crisis; Arab economy; financial market. (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:12(541)(supplement):y:2009:i:12(541)(supplement):p:786-793

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