检索结果-南通市图书馆

Modelling the dynamics of stock market in the gulf cooperation council countries:evidence on persistence to shocks

Financial Innovation 2022年第1期8卷 1252-1273页

作者： Heni Boubaker Bassem Saidane Mouna Ben Saad Zorgati Institute of High Commercial Studies(IHEC)of Sousse LaREMFiQB.P.404054 SousseTunisia IPAG Business School IPAG LAB184 Boulevard Saint-Germain75006 ParisFrance

This study examines the statistical properties required to model the dynamics of both the returns and volatility series of the daily stock market returns in six Gulf Cooperation Council countries,namely Bahrain,Oman,Kuwait,Qatar,Saudi Arabia,and the United Arab Emirates,under different financial and economic *** empiri-cal investigation is conducted using daily data from June 1,2005 to July 1,*** analysis is conducted using a set of double long-memory specifications with some significant features such as long-range dependencies,asymmetries in conditional variances,non-linearity,and multiple seasonality or time-varying *** study indicates that the joint dual long-memory process can adequately estimate long-memory dynamics in returns and *** in-sample diagnostic tests as well as out-of-sample forecasting results demonstrate the prevalence of the Autoregressive Fractionally Integrated Moving Average and Hyperbolic asymmetric power Autoregressive Conditional Heteroskedasticity modeling process over other competing models in fitting the first and the second conditional moments of the market ***,the empirical results show that the proposed model offers an interesting framework to describe the long-range dependence in returns and seasonal persistence to shocks in conditional volatility and strongly support the estimation of dynamic returns that allow for time-varying correlations.A noteworthy finding is that the long-memory dependencies in the conditional variance processes of stock market returns appear important,asymmetric,and differ in their volatility responses to unexpected *** evidence suggests that these markets are not completely efficient in processing regional news,thus providing a sound alternative for regional portfolio diversification.

关键词： Long-memory Volatility process asymmetric power Seasonality Forecast performance Stock market

来源：

维普期刊数据库评论

在线全文

维普期刊数据库

学校读者我要写书评

暂无评论

欢迎您,

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

在线全文

请选择保存的检索档案：

请选择收藏分类：

通借通还

欢迎您,

建议与咨询 留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

在线全文

请选择保存的检索档案： 新增检索档案 确定 取消

请选择收藏分类： 新增自定义分类 确定 取消

通借通还

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

请选择保存的检索档案：

请选择收藏分类：