BibTeX
@MISC{Ibnrubbian_by,
author = {Abdullah K. Ibnrubbian},
title = {by},
year = {}
}
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Abstract
Saudi stock market (SSM) has witnessed various market regulations and transformations taking place over the past decade. However, the impact of these reforms on market efficiency has not been addressed in the literature. Furthermore, idiosyncratic features of the market can play an important role on the market performance, yet these features have not been fully investigated. The aim of this thesis is to tackle these issues by empirically examining the market efficiency hypothesis and volatility behaviour of the Saudi stock market. Specifically, in order to better understand the relationship between stock returns and prohibition of interest (riba), both conditional and unconditional volatilities are investigated in the context of Islamic law and herd behaviour of noise traders. In Chapter 2 the efficient market hypothesis is tested on the basis of various market efficiency models. Results of both parametric and non-parametric tests reveal that despite the evidence of improved efficiency in the Saudi stock market the weak form of efficient market hypothesis theory is still generally rejected. Chapter 3 considers two types of the generalised autoregressive conditional heteroscedasticity (GARCH) model, a univariate and multivariate GARCH. Specifically, the univariate GARCH model is used to test the seasonality effect of the Ramadan month on each of the
Keyphrases
saudi stock market idiosyncratic feature important role multivariate garch generalised autoregressive conditional heteroscedasticity seasonality effect ramadan month efficient market hypothesis theory market efficiency improved efficiency market efficiency hypothesis stock return islamic law unconditional volatility noise trader various market efficiency model weak form non-parametric test univariate garch model volatility behaviour efficient market hypothesis various market regulation market performance past decade
