Does credit for equity investments feedback on stock market volatility? Evidence from an emerging stock market
AbstractThis paper investigates the causal relationships between volatility in Saudi stock market and banks credit for equity investments. Our finding indicate there is a bi-directional feedback effects between the stock price volatility and banks credit loans. In other words, volatility in private credit for equity investments influence volatility in stock price and vice versa. A policy implication of such result is that regulating private credit loans in banking sector could reduce the upnormal swings in Saudi Stock prices.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 28001.
Date of creation: 02 Jan 2011
Date of revision:
Saudi stock market; Volatility; speculation; banks' credit;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-23 (All new papers)
- NEP-ARA-2011-01-23 (MENA - Middle East & North Africa)
- NEP-BAN-2011-01-23 (Banking)
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