Browsing Finance & Economics by Subject "Volatility"
Now showing items 1-4 of 4
-
THE LEVERAGE EFFECT ON THE VALUE PREMIUM VOLATILITY: FROM AN INTERNATIONAL PERSPECTIVE
( Qatar University , 2015 , Article)This paper investigates the leverage effect on the value premium volatility using GARCH and TARCH models utilizing a unique dataset, for twenty nine countries. The findings show that value premium returns are bigger in ... -
Market liberalization and volatility of returns in emerging markets: The case of Qatar Exchange (QSC)
( Emerald Publishing , 2012 , Article)Purpose – The purpose of this paper is to examine whether stock market liberalization creates excess stock return volatility in the Qatar Exchange (QSC). Design/methodology/approach – The study utilizes two methods, simple ... -
The Dynamic and Dependence of Takaful and Conventional Stock Return Behaviours: Evidence from the Insurance Industry in Saudi Arabia
( Springer New York LLC , 2018 , Article)This paper investigates the dynamics of volatility in the stock market using competing univariate GARCH specifications. Moreover, it provides a study of the pairwise correlation pattern of stock returns for a wide range ... -
True or spurious long memory in volatility: Further evidence on the energy futures markets
( Elsevier , 2014 , Article)The main goal of this paper is to investigate whether the long memory behavior observed in many volatility energy futures markets series is a spurious behavior or not. For this purpose, we employ a wide variety of advanced ...