اختبار أثر التقلب العنقودي لمؤشر تداول باستخدام الارتباط الذاتي المدحرج

Test of Clustering Volatility of TASI index using Rolling Autocorrelation

Hassan Ghassan and Hassan R. Alhajhoj

MPRA Paper from University Library of Munich, Germany

Abstract: Capital market liberalization allows the access of foreign investors to Saudi stock market especially since 2005. The test of adaptation to the market volatility exhibits the existence of the volatility clustering in the daily return and volume of traded shares. This finding is corroborated by the absence of variance homoscedasticity using BF test. Also, the results indicate that the period between 11.2002 and 01.2006 is more efficient comparatively to other periods. Furthermore, from the start of 2010, there is a relative stability in stock market. The shocks on volatility market are persistent, but their intensity and permanence after the initial liberalization and institutional reforms of the capital market appear to be less in the volume, but more expanded in the prices.

Keywords: Rolling serial correlation; TASI; Return; Foreign capital Saudi Arabia (search for similar items in EconPapers)
JEL-codes: C22 G15 (search for similar items in EconPapers)
Date: 2013, Revised 2013
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https://mpra.ub.uni-muenchen.de/80611/1/MPRA_paper_54630.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/80611/10/MPRA_paper_80611.pdf revised version (application/pdf)

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