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Are there significant premiums in the Saudi stock market?

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  • Alkhareif, Ryadh

Abstract

Saudi Arabia has announced the opening of its Stock Exchange for qualified foreign investors starting June 15, 2015. This decision marks a major milestone that deserves special recognition. Given the presence of factor anomalies in other stock markets, we examine whether similar factors concur in the Saudi market. The findings confirm the existence of significant premiums for all of the factors under investigation. Interestingly, we encounter a remarkable anomaly within which riskier assets do not necessarily offer higher returns. Such findings could prove valuable for retail investors who mistakenly believe that higher risks result in higher rewards.

Suggested Citation

  • Alkhareif, Ryadh, 2016. "Are there significant premiums in the Saudi stock market?," Finance Research Letters, Elsevier, vol. 18(C), pages 108-115.
    • Handle: RePEc:eee:finlet:v:18:y:2016:i:c:p:108-115
    DOI: 10.1016/j.frl.2016.04.007
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    References listed on IDEAS

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    Cited by:

    1. Saqib Sharif, 2019. "How foreign investors influence stock markets? The Saudi Arabian experience," Middle East Development Journal, Taylor & Francis Journals, vol. 11(1), pages 105-123, January.

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    More about this item

    Keywords

    Saudi stock exchange; Multifactor model; And factor premiums;
    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
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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