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Volatility Persistence in Palestine Exchange Bulls and Bears: An Econometric Analysis of Time Series Data

Author

Listed:
  • Ibrahim M. Awad

    (Faculty of Business and Economics, Al-Quds University, P.O. Box 51000, Jerusalem, PALESTINE)

  • Abdel-Rahman Al-Ewesat

    (Faculty of Business and Economics, Al-Quds University, P.O. Box 51000, Jerusalem, PALESTINE)

Abstract

This study aims at investigating volatility persistent in Palestine Exchange (PEX) bulls and bears. It also attempts to explore whether or not stock market volatility present a different behavior during PEX bulls and bears, which is likely to provide investors with a background information for more feasible investment in the PEX. Toward that end, the study employs Rescaled Range (R/S) to calculate the values of difference to find evidence of long memory behavior for the daily data observations from August, 1997 to December, 2014. The study finds that volatility isn¡¯t persistent in the PEX bear markets. Co-integration results show that there is an existence of cointegration, which indicates a long run equilibrium association between PEX bull and bear markets. The ECM results reveal that the speed of adjustment toward long run equilibrium is very low for PEX bull markets while the speed of adjustment toward long run equilibrium is unlikely to be attained for PEX bear markets. Further, the PEX bears markets are longer than PEX bulls markets, so that prudent investors should take volatility in PEX bulls and bears into account.

Suggested Citation

  • Ibrahim M. Awad & Abdel-Rahman Al-Ewesat, 2017. "Volatility Persistence in Palestine Exchange Bulls and Bears: An Econometric Analysis of Time Series Data," Review of Economics & Finance, Better Advances Press, Canada, vol. 9, pages 83-97, August.
    • Handle: RePEc:bap:journl:170307
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    References listed on IDEAS

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    Cited by:

    1. Ibrahim M. Awad & Mohammed S. Karaki, 2019. "The impact of bank lending on Palestine economic growth: an econometric analysis of time series data," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-21, December.

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    More about this item

    Keywords

    PEX bulls and bears; Persistence; Moving average; Long memory; Volatility;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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