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AuthorAbdalla, Abdelgader M.A.
AuthorAl-Khouri, Ritab S.
Available date2023-12-19T07:24:24Z
Publication Date2011
Publication NameInternational Journal of Economics and Business Research
CitationAl-Khouri, R., Abdul khader, A. (2011). The Price-Volume Relationship in Gulf Corporation Council Stock Markets. The International Journal of Economic and Business Research (IJEBR), 3(1), 1756-9850. http://www.inderscience.com/info/inarticle.php?artid=37430- https://doi.org/10.1504/IJEBR.2011.037430
ISSN1756-9850
URIhttp://dx.doi.org/10.1504/IJEBR.2011.037430
URIhttp://hdl.handle.net/10576/50458
AbstractThis paper examines the empirical relationship among stock return, trading volume and volatility for the seven stock markets that comprise the Gulf Cooperation Council. The dataset includes seven national stock markets for the period spanning from 1 July 2004 to 3 September 2008. Granger causality test was used to explore whether return causes volume or volume causes return. The empirical results of Granger causality tests reveal that returns lead volume in five markets out of the seven markets. The results of the exponential generalised autoregressive conditional heteroskedasticity model provide evidence that shocks persist in the conditional variance, good news have different impact on market volatility than bad news and that the large shocks have large impact on the market volatility for all markets. In addition, the lag volume shows a significant and positive impact on volatility in four markets and no impact in three markets, namely Abu Dhabi, Bahrain and Doha.
Languageen
PublisherInderscience
SubjectGARCH
generalised autoregressive conditional heteroskedasticity
Arab States
Gulf Cooperation Council
United Arab Emirates
UAE
Bahrain
Saudi Arabia
Kuwait
Qatar
Oman
Persian Gulf
stock exchanges
stock markets
Granger causality test
price volume relationships
VAR
vector autoregression
stock returns
trading volumes
market volatility
Abu Dhabi
Dubai
Muscat
Doha
large shocks
bad news
good news
lag volumes
positive impacts
economics
business research.
TitleThe price-volume relationship in Gulf Cooperation Council stock markets
TypeArticle
Pagination15-28
Issue Number1
Volume Number3
dc.accessType Abstract Only


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