AN EMPIRICAL EXAMINATION OF STABILITY, PREDICTABILITY AND VOLATILITY FOR CAPITAL MARKETS IN PERSIAN GULF RIM

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DADGAR Y.A.; VARMAZYARI B.

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Paper Information

Journal: Journal of Economic Modelling Year:2012 | Volume:5 | Issue:4 (16) Page(s): 1-20

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Title

AN EMPIRICAL EXAMINATION OF STABILITY, PREDICTABILITY AND VOLATILITY FOR CAPITAL MARKETS IN PERSIAN GULF RIM

Author(s)

DADGAR Y.A. | VARMAZYARI B. | Issue Writer Certificate

Keywords

RISK PREMIUMQ2

STABILITYQ2

PREDICTABILITYQ2

VOLATILITYQ2

EMERGING STOCK MARKETSQ2

Abstract

This paper examines the dynamic relationship of stock markets, STABILITY, PREDICTABILITY, VOLATILITY, and persistence of shocks VOLATILITY of stock markets in Iran, Saudi Arabia, United Arabic Emirates, Qatar, Bahrain and Oman. In this paper, Generalized Autoregressive Conditional Heteroskedasticity model (GARCH) and Autoregressive Moving Average model (ARMA) are implemented by using monthly data during 1990-2010. The results indicate that stock market doesn’t have notable PREDICTABILITY in Iran and there is Cluster VOLATILITY for return of stock in most markets and almost, in none of these markets except Oman, explosive volatilities are observed. It is also indicated that the return for markets of Bahrain and Oman doesn’t have STABILITY in significant level of 5 percent and for Iran it doesn’t have STABILITY and durability in significant level of 1 percent. In addition, although the markets of these countries have high capacities for return of investment, but, in particular, the findings show a low correlation between these markets. Also, the results for the period in question explain that none of these markets has the ability of leadership among others.

Cites

INTRODUCING AN EARLY WARNING SYSTEM FOR HIGH VOLATILITY IN TEHRAN STOCK EXCHANGE: MARKOV SWITCHING GARCH APPROACH

References

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APA: Copy

DADGAR, Y.A., & VARMAZYARI, B.. (2012). AN EMPIRICAL EXAMINATION OF STABILITY, PREDICTABILITY AND VOLATILITY FOR CAPITAL MARKETS IN PERSIAN GULF RIM. ECONOMIC MODELLING, 5(4 (16)), 1-20. SID. https://sid.ir/paper/176252/en

Vancouver: Copy

DADGAR Y.A., VARMAZYARI B.. AN EMPIRICAL EXAMINATION OF STABILITY, PREDICTABILITY AND VOLATILITY FOR CAPITAL MARKETS IN PERSIAN GULF RIM. ECONOMIC MODELLING[Internet]. 2012;5(4 (16)):1-20. Available from: https://sid.ir/paper/176252/en

IEEE: Copy

Y.A. DADGAR, and B. VARMAZYARI, “AN EMPIRICAL EXAMINATION OF STABILITY, PREDICTABILITY AND VOLATILITY FOR CAPITAL MARKETS IN PERSIAN GULF RIM,” ECONOMIC MODELLING, vol. 5, no. 4 (16), pp. 1–20, 2012, [Online]. Available: https://sid.ir/paper/176252/en

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