 International implied volatility risk indexes and Saudi stock return-volatility predictabilitiesKais Tissaoui () and Jamel Azibi The North American Journal of Economics and Finance, 2019, vol. 47, issue C, 65-84 Abstract: This paper investigates the dynamic conditional correlation and the predictability between the Saudi stock return and international volatility risks indexes. Using a combined regression framework based on the DCC-GARCH (1.1) and CCF-Approaches, we find that the short-run and long-run persistence of shocks on the dynamic conditional correlation are evident for the all-sample peers. Particularly, the United States volatility risk index is dominant in forecasting Saudi stock market returns, whether for the in-sample analysis or the out-of-sample analysis and even after controlling for Saudi domestic volatility measures and others international volatility risk indexes. The cross-correlation tests corroborate also a higher presence of spreading shocks of volatility from the Saudi market return to international volatility risks related to financial markets, more so than the commodities markets. Keywords: Return and volatility predictability; Volatility risks; International financial markets; Oil and metal markets; Dynamic conditional correlation; Cross-correlation function; Saudi stock market (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:47:y:2019:i:c:p:65-84 DOI: 10.1016/j.najef.2018.11.016 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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