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

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  • Ghassan, Hassan
  • Abdullah, Abdelgader

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.

Suggested Citation

  • Ghassan, Hassan & Abdullah, Abdelgader, 2009. "Does the entry of foreign investors influence the volatility of Doha Securities Market?," MPRA Paper 95620, University Library of Munich, Germany, revised 2010.
    • Handle: RePEc:pra:mprapa:95620
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    References listed on IDEAS

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    Cited by:

    1. Ghassan, Hassan B. & Alhajhoj, Hassan R., 2012. "أثر تحرير سوق رأس المال على التذبذب في سوق الأسهم السعودي [Effect of Capital Market Liberalization on Volatility of TASI]," MPRA Paper 54470, University Library of Munich, Germany, revised 2012.

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    More about this item

    Keywords

    Doha Securities Market; EGARCH; Qatar; Return; Volatility;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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