Abstract:Study of stock market volatility has been the focus of financial economics. Modelling stock market volatility has great contributions to make in the areas of portfolio management, asset allocation, risk management, etc. We estimate the conditional volatility of Saudi stock market by applying AR (1)-GARCH (1, 1) model to the daily stock returns data spanning from August 1, 2004 to October 31, 2013. We show that a linear symmetric GARCH (1, 1) model is adequate to estimate the volatility of the stock market of t… Show more
“…More importantly, the levels of information that the market may have received on a daily basis are different, and thus the market loses its efficiency that it is supposed to have. Indeed, these results supported by study of Kalyanaraman, (2014)asset allocation, risk management, etc. We estimate the conditional volatility of Saudi stock market by applying AR (1.…”
Section: Discussionsupporting
confidence: 59%
“…Since decades ago, there many studies discussed stock market volatility widelyin developed and emerging markets over the world (Baillie & DeGennaro, 1990). However, the context of the Saudi stock market showed a lack of specialized studies and research, only few studies conducted (Brailsford & Robert, 1966;Kalu O. Emenike, 2010;Kalyanaraman, 2014;Tse, 1991)asset allocation, risk management, etc. We estimate the conditional volatility of Saudi stock market by applying AR (1, and thus making the outlook relatively difficult.…”
Section: Saudi Stocks Market and Volatilitymentioning
confidence: 99%
“…The Saudi Stock Market is known as Tadawul All Share Index (TASI), and its existence dates back to the 1970s when it emerged informally (Kalyanaraman, 2014)asset allocation, risk management, etc. We estimate the conditional volatility of Saudi stock market by applying AR (1.…”
Section: Saudi Stocks Market and Volatilitymentioning
confidence: 99%
“…Studies attempted to focus accurately on the interaction of financial markets with the news received and their ability to deal with them. In the case of Saudi Arabia, studies of market performance assessment and its sensitivity towards different news were truly rare and few (Kalyanaraman, 2014)asset allocation, risk management, etc. We estimate the conditional volatility of Saudi stock market by applying AR (1.…”
Abstract:This study aims to identify the effect of unexpected political-events on Saudi stock market returns based on the efficient market hypothesis (EMH) assumptions.� The disappearance of the Saudi journalist Jamal Khashoggi in Turkey is the political event has been determined in this study.� The data collected from ten companies traded in the Saudi stock market which accounted for more than 62 percent of the total market capitalization. However, this paper applied the Event Study Methodology. The results showed that the Saudi stock market initially reacted to the event and tried to absorb the information received but could not correct itself in most of the window event period. It seems that the market did not get the relevant news quickly or clearly. So, the information that flow among traders was not readily available for the investors at the same level and time. Ultimately, the Saudi stock market is described as a weak-form market (inefficient).Keywords: Unanticipated political events, the stock market, expected returns, abnormal returns, cumulative returns, event study methodologyAbstract: This study aims to identify the effect of unexpected political-events on Saudi stock market returns based on the efficient market hypothesis (EMH) assumptions.� The disappearance of the Saudi journalist Jamal Khashoggi in Turkey is the political event has been determined in this study.� The data collected from ten companies traded in the Saudi stock market which accounted for more than 62 percent of the total market capitalization. However, this paper applied the Event Study Methodology. The results showed that the Saudi stock market initially reacted to the event and tried to absorb the information received but could not correct itself in most of the window event period. It seems that the market did not get the relevant news quickly or clearly. So, the information that flow among traders was not readily available for the investors at the same level and time. Ultimately, the Saudi stock market is described as a weak-form market (inefficient).Keywords: Unanticipated political events, the stock market, expected returns, abnormal returns, cumulative returns, event study methodology.
“…More importantly, the levels of information that the market may have received on a daily basis are different, and thus the market loses its efficiency that it is supposed to have. Indeed, these results supported by study of Kalyanaraman, (2014)asset allocation, risk management, etc. We estimate the conditional volatility of Saudi stock market by applying AR (1.…”
Section: Discussionsupporting
confidence: 59%
“…Since decades ago, there many studies discussed stock market volatility widelyin developed and emerging markets over the world (Baillie & DeGennaro, 1990). However, the context of the Saudi stock market showed a lack of specialized studies and research, only few studies conducted (Brailsford & Robert, 1966;Kalu O. Emenike, 2010;Kalyanaraman, 2014;Tse, 1991)asset allocation, risk management, etc. We estimate the conditional volatility of Saudi stock market by applying AR (1, and thus making the outlook relatively difficult.…”
Section: Saudi Stocks Market and Volatilitymentioning
confidence: 99%
“…The Saudi Stock Market is known as Tadawul All Share Index (TASI), and its existence dates back to the 1970s when it emerged informally (Kalyanaraman, 2014)asset allocation, risk management, etc. We estimate the conditional volatility of Saudi stock market by applying AR (1.…”
Section: Saudi Stocks Market and Volatilitymentioning
confidence: 99%
“…Studies attempted to focus accurately on the interaction of financial markets with the news received and their ability to deal with them. In the case of Saudi Arabia, studies of market performance assessment and its sensitivity towards different news were truly rare and few (Kalyanaraman, 2014)asset allocation, risk management, etc. We estimate the conditional volatility of Saudi stock market by applying AR (1.…”
Abstract:This study aims to identify the effect of unexpected political-events on Saudi stock market returns based on the efficient market hypothesis (EMH) assumptions.� The disappearance of the Saudi journalist Jamal Khashoggi in Turkey is the political event has been determined in this study.� The data collected from ten companies traded in the Saudi stock market which accounted for more than 62 percent of the total market capitalization. However, this paper applied the Event Study Methodology. The results showed that the Saudi stock market initially reacted to the event and tried to absorb the information received but could not correct itself in most of the window event period. It seems that the market did not get the relevant news quickly or clearly. So, the information that flow among traders was not readily available for the investors at the same level and time. Ultimately, the Saudi stock market is described as a weak-form market (inefficient).Keywords: Unanticipated political events, the stock market, expected returns, abnormal returns, cumulative returns, event study methodologyAbstract: This study aims to identify the effect of unexpected political-events on Saudi stock market returns based on the efficient market hypothesis (EMH) assumptions.� The disappearance of the Saudi journalist Jamal Khashoggi in Turkey is the political event has been determined in this study.� The data collected from ten companies traded in the Saudi stock market which accounted for more than 62 percent of the total market capitalization. However, this paper applied the Event Study Methodology. The results showed that the Saudi stock market initially reacted to the event and tried to absorb the information received but could not correct itself in most of the window event period. It seems that the market did not get the relevant news quickly or clearly. So, the information that flow among traders was not readily available for the investors at the same level and time. Ultimately, the Saudi stock market is described as a weak-form market (inefficient).Keywords: Unanticipated political events, the stock market, expected returns, abnormal returns, cumulative returns, event study methodology.
“…Further, there are few number of studies on Saudi stock market return and volatility. The stock returns of Saudi stock market are characterized by time varying volatility, and also the market is too sensitive to market fluctuations (Kalyanaraman, 2014). Badshah et al (2016) examined the asymmetries in the intraday return and volatility.…”
The association between risk and return is a significant concept in finance that has been studied in the past to a large extent. The stock market volatility is closely associated with the risk. The current study examines the intraday volatility pattern of stock market of Saudi Arabia by reviewing the stocks of Tadawul All Share Index (TASI). We obtain return data at 5-minute frequency from the SASEIDX starting on 25 October 2017 and ending on 9 May 2018. We examine the stock market volatility by using different symmetric and asymmetric GARCH models and observe that, the symmetric GARCH models showed a significant positive association between risk and return. Similarly, the asymmetric GARCH models show that the estimates were significant and the leverage estimate was negative and significant, indicating a no-leverage effect in the return series. Moreover, the asymmetric results suggest that negative shocks do not entail to future higher volatility than positive shocks. Therefore, the symmetric and asymmetric GARCH models are comfortable to capture the volatility of Saudi stock market from Intraday data.
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