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

Hassan Ghassan () and Abdelgader Abdullah

MPRA Paper from University Library of Munich, Germany

Abstract: The paper analyzes the time variation in volatility in Doha Securities Market and examines the presence of structural changes in GARCH-based conditional volatility during the period 2002-2008. This issue is related to the market liberalization reforms permitting foreign investors to enter the equity market in 2005.The analysis reveals that there is a high risk in return equation. It also indicates that the return is positively and more significantly related to the risk. The GARCH-Mean model shows that the volume term has a more significant parameter in both return and risk equations, and 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 to its persistence after the entry of foreign investors.

Keywords: Doha Securities Market; EGARCH; Qatar; Return; Volatility (search for similar items in EconPapers)
JEL-codes: C5 C58 G15 (search for similar items in EconPapers)
Date: 2009, Revised 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in International Journal of Monetary Economics and Finance 4.3(2010): pp. 359-373

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/95620/1/MPRA_paper_95620.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/122989/1/MPRA_paper_95620.pdf revised version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:95620

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().