Purpose
The purpose of this paper is to assess the sources of Dubai Financial Market Index volatility shocks if they are from its own or previous shocks on the one hand, or if they are out board shocks (FSTE and S&P500) on the other.
Design/methodology/approach
A daily time series data were collected over the period 1st January 2014-31st December 2015 and the generalized autoregressive conditional heteroskedasticity (GARCH) methodology was implemented.
Findings
Empirically, the authors find that the current volatility of Dubai Financial Market Index is largely dependent on its own shocks and part of the external shock; in particular, S&P500. However, other external volatility (FSTE) cannot contribute to this volatility. Furthermore, our findings indicate that Abu Dhabi stock Exchange (APX) affects Dubai Financial Market Index.
Practical implications
These results conclude that Securities Regulation Department in the federal state of United Arab Emirates had captured the effect of outside shocks from the UK only, but not from USA; this is basically due to the strong ties between the two countries. Accordingly, UAE investors seek capital outside their home country within a climate of increasing overseas’ investment options in the UK. More transparency of transactions via information technology will increase the efficiency of Dubai Financial Market.
Originality/value
To the best of the knowledge, this is the first work that shows the external and internal sources of volatility shocks at once; previous studies have focused almost exclusively on one type of shocks. To investigate DFM volatility shocks, the authors employed GARCH methodology; this method is an advanced econometric method and is often a preferred method to depict actual effects because it provides a more real-world context than other forms when trying to predict volatility shocks of financial instruments.
This paper studies the short and long term relationship between S&P500 USA stock market index and the stock market indices of 30 countries around the world over the period June 2010-April 2015. We implement OLS regression and use error correction model to examine the short and long term relationship between the variables. Empirically, we find that there is a relationship on the short and long term between S&P500 and the indices of 27 countries from East Asia, Europe, Latin America, Middle East as well as the countries of Australia and Canada. These results conclude that the global financial crisis of 2007-2008 significantly and lengthy increased the already high level of co-movement between the USA financial market and the observed stock market for 27 countries around the world. The findings from our research are important; however, we believe that further research based on our findings is necessary.
This article studies household portfolio behaviour for a group of Middle East economies, namely Israel, Jordan and Turkey. Panel unit root and cointegration tests are used to investigate the convergence of household portfolio behaviour; and asset demand equations are estimated in a novel way of comparing the three countries using the Seemingly Unrelated Regression (SUR) model. We identify some common household portfolio behaviour for currency (cash), time deposits, company securities and bank loans, among the economies. However, household portfolio preferences do not respond to exchange rate changes in a uniform way across the three countries.flow of funds, household sector, portfolio management, panel data,
The integration between developed countries and developing ones is attracting the attention of the economic and finance people alike. The level of this integration has been more highlighted through the impact of the financial crisis on the United States economy and its reflection on regions and countries around the world. In this paper we employ econometric model and causality test to investigate if external shocks originated from the US economy play a pivotal role in influencing the macroeconomic fluctuations in different regions and countries around the world. The results show that the US economy is correlated with most of regions, but not with many individual countries; the US economic growth causes only the growth of 13 economies and 2 aggregate regions. This implies that the United States was not that successful in leading the campaign to persuade much of the world to follow its economic style.
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