Modeling and assessing systematic risk in stock markets in major oil exporting countries

2021 ◽  
Vol 35 (3) ◽  
pp. 18-29
Author(s):  
Ibrahim A. Onour ◽  
Keyword(s):  
Saudi Arabia ◽  
Stock Markets ◽  
Banking Sector ◽  
Financial Time Series ◽  
Systematic Risk ◽  
Point Estimate ◽  
Time Variability ◽  
Time Varying ◽  
Using Data ◽  
Capm Model

Introduction. This paper aims to assess time variability of beta coefficients (systematic risk) of Capital Asset Pricing Model (CAPM) using data from five key sectors in Saudi Arabia and Kuwait stock markets. Material and methods. To assess time – varying systematic risk we employed symmetric as well as asymmetric conditional volatility specifications to account for skewness and leptkurtosis of high frequency financial time series to better specify conditional higher moments. Results & discussions. The results of the paper support significant evidence of time-varying beta coefficients for all sectors included in the study, in particular the banking sector, and relatively with a lesser degree ,the food, and the service sectors in both countries. For the banking sector in Saudi Arabia, the beta coefficients variability during the sample period estimated between (0.18 to 22.1), and also for Kuwait stock market the beta coefficient of the banking sector variability estimated between (0.16 to 22.1). This result invalidates, at least in the context of the sample country’s banking sectors, the standard application of (CAPM) that assumes constant beta coefficients. Also indicated in the paper, time-varying beta estimates are consistent with a modified version of CAPM prediction that is portfolios with wider range of beta variations expected to yield higher return values and those with lower range of beta variations yield lower returns. Conclusion. In this new context, risk is no longer is a point estimate as implied by the standard CAPM model, but it is a range of values. Our findings also show the size and the range of beta variations are sensitive to skewness and fat tailedness that characterize asset returns distribution.

scholarly journals Risk-Adjusted Seasonality in Muslim Frontier Stock Markets

2021 ◽  
Author(s):  
Faheem Aslam ◽  
Ahmed Imran Hunjra ◽  
Tahar Tayachi ◽  
Peter Verhoeven ◽  
Yasir Tariq
Keyword(s):  
Stock Markets ◽  
Systematic Risk ◽  
Time Varying ◽  
Bonferroni Correction ◽  
Market Portfolio ◽  
Stock Indices ◽  
Lunar Calendar ◽  
Investment Opportunities ◽  
Day Of The Week ◽  
Return Seasonality

<p>We investigate the evidence of three risk-adjusted calendar anomalies in eight frontier markets. </p> Our sample consists of the daily closing prices of their stock indices for the period of January 2006 to September 2019. We categorize the data with respect to day-of-the-week, Lunar calendar and Islamic calendar. Using Morgan Stanley Capital International (MSCI) eight Markets Index as our proxy of the market portfolio, most of the frontier markets tested exhibit calendar seasonality. We confirm that systematic risk varies with respect to day-of-the-week, Lunar months and Islamic months. After consideration of time-varying risk and applying Bonferroni correction, few frontier markets exhibit profitable investment opportunities from calendar return anomalies for active investment managers. This study contributes to the existing literature by documenting evidence of the presence of both day-of-the-week and month-of-the-year return seasonality both for the Gregorian and Islamic calendar for frontier markets.

scholarly journals Risk-Adjusted Seasonality in Muslim Frontier Stock Markets

2021 ◽  
Author(s):  
Faheem Aslam ◽  
Ahmed Imran Hunjra ◽  
Tahar Tayachi ◽  
Peter Verhoeven ◽  
Yasir Tariq
Keyword(s):  
Stock Markets ◽  
Systematic Risk ◽  
Time Varying ◽  
Bonferroni Correction ◽  
Market Portfolio ◽  
Stock Indices ◽  
Lunar Calendar ◽  
Investment Opportunities ◽  
Day Of The Week ◽  
Return Seasonality

<p>We investigate the evidence of three risk-adjusted calendar anomalies in eight frontier markets. </p> Our sample consists of the daily closing prices of their stock indices for the period of January 2006 to September 2019. We categorize the data with respect to day-of-the-week, Lunar calendar and Islamic calendar. Using Morgan Stanley Capital International (MSCI) eight Markets Index as our proxy of the market portfolio, most of the frontier markets tested exhibit calendar seasonality. We confirm that systematic risk varies with respect to day-of-the-week, Lunar months and Islamic months. After consideration of time-varying risk and applying Bonferroni correction, few frontier markets exhibit profitable investment opportunities from calendar return anomalies for active investment managers. This study contributes to the existing literature by documenting evidence of the presence of both day-of-the-week and month-of-the-year return seasonality both for the Gregorian and Islamic calendar for frontier markets.

Stock markets, banks and economic growth in the UK, 1850–1913

2018 ◽  
Vol 25 (3) ◽  
pp. 263-296 ◽  
Author(s):  
Walter Jansson
Keyword(s):  
Economic Growth ◽  
Stock Markets ◽  
Commercial Banks ◽  
Banking Sector ◽  
Vector Autoregression ◽  
Stock Exchanges ◽  
Time Varying ◽  
Significant Extent ◽  
Time Varying Parameters ◽  
The Uk

This article shows that neither stock markets nor commercial banks had a significant impact on the UK's economic growth from 1850 to 1913. These results are based on a new dataset on paid-in capital of securities listed on the UK's stock exchanges, which is analysed using a vector autoregression with time-varying parameters. Econometric results also indicate that the growth of the banking sector and the capital markets was, to a significant extent, driven by factors other than domestic economic growth.

The Time-Varying Systematic Risk of Carry Trade Strategies

CFA Digest ◽  
2012 ◽  
Vol 42 (1) ◽  
pp. 49-51
Author(s):  
Andrew Boral
Keyword(s):  
Systematic Risk ◽  
Time Varying ◽  
Carry Trade

Motivations and attitudes toward domestic tourism in Saudi Arabia

2019 ◽  
Vol 9 (1) ◽  
pp. 27-37
Author(s):  
Mourad Mansour ◽  
Alhassan G Mumuni
Keyword(s):  
Saudi Arabia ◽  
Local Environment ◽  
Domestic Environment ◽  
Domestic Tourism ◽  
Tourism Destinations ◽  
Tourism Information ◽  
The Government ◽  
Using Data ◽  
Tourism Organization ◽  
Self Administered Questionnaire

AbstractBeginning with the establishment of a Supreme Commission for Tourism and Antiquities’ (SCTA) in 2000, there have been official attempts by the government of Saudi Arabia to encourage domestic tourism in order to tap into the huge amounts that Saudis spend annually on vacations. This paper examines the motivations and attitudes of consumers toward tourism destinations and activities within the country (domestic tourism). Using data collected through a structured self-administered questionnaire, the study finds that familiarity and trust of the local environment, perceptions of the safer domestic environment, and limitations imposed by respondents’ vacation timing are the primary motives for choosing to spend their vacations locally, while lack of quality domestic tourist sites and services (including entertainment facilities), lack of tourism information, insufficient tourism organization services, and the harsh local environmental conditions during summer are factors that ‘push’ people from spending the vacations locally. Attitudes toward domestic tourism are generally negative, although there are significant differences in attitudes between respondents who prefer domestic destinations and those who prefer to travel out of Kingdom. Implications of the findings are outlined and discussed.

Optimal Hedge Ratio and Hedging Effectiveness in Stock Futures Market: Evidence from National Stock Exchange, India

2019 ◽  
Vol 118 (3) ◽  
pp. 137-152
Author(s):  
A. Shanthi ◽  
R. Thamilselvan
Keyword(s):  
Banking Sector ◽  
Stock Exchange ◽  
Research Work ◽  
Futures Market ◽  
Least Square ◽  
Time Varying ◽  
Hedge Ratio ◽  
Hedging Effectiveness ◽  
Out Of Sample ◽  
Optimal Hedge

The major objective of the study is to examine the performance of optimal hedge ratio and hedging effectiveness in stock futures market in National Stock Exchange, India by estimating the following econometric models like Ordinary Least Square (OLS), Vector Error Correction Model (VECM) and time varying Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MGARCH) model by evaluating in sample observation and out of sample observations for the period spanning from 1st January 2011 till 31st March 2018 by accommodating sixteen stock futures retrieved through www.nseindia.com by considering banking sector of Indian economy. The findings of the study indicate both the in sample and out of sample hedging performances suggest the various strategies obtained through the time varying optimal hedge ratio, which minimizes the conditional variance performs better than the employed alterative models for most of the underlying stock futures contracts in select banking sectors in India. Moreover, the study also envisage about the model selection criteria is most important for appropriate hedge ratio through risk averse investors. Finally, the research work is also in line with the previous attempts Myers (1991), Baillie and Myers (1991) and Park and Switzer (1995a, 1995b) made in the US markets

Momentum Effect in Stock Market: Empirical Evidence from Pakistan Stock Exchange

2019 ◽  
Vol 12 (1) ◽  
Author(s):  
Shahid Rasheed ◽  
Umar Saood ◽  
Waqar Alam
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Stock Exchange ◽  
Momentum Effect ◽  
Using Data

This study aims to examine the momentum effect presence in selected stocks of Pakistan stock market using data from Jan 2007 to Dec 2016. This study constructed the strategies includes docile, equal weighted and full rebalancing techniques. Data was extracted from the PSX – 100 index ranging from 2007 to 2016. STATA coding ASM software was used for calculating momentum portfolios, finally top 25 stocks were considered as a winner stocks and bottom 25 stocks were taken as a loser stocks. In conclusion, the results of the study found a strong momentum effect in Pakistan stock exchange PSX 100- index. As by results it has been observed that a substantial profit can earn by the investors or brokers in constructing a portfolio with a short formation period of three months and hold for 3, 6 and 12 months. There is hardly a study is present on the same topic on Pakistan Stock Exchange as preceding studies were only conducted on individual stock markets before merger of stock markets in Pakistan while this study leads the explanation of momentum phenomenon in new dimension i.e. Pakistan Stock Exchange. Keywords: Momentum, Portfolio, Winner Stocks, Loser Stocks

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