Kuwait-University-Journal-of-Law-header
Search
Journal of Law

Previous Issues

Advance Search
Year : From To Vol
Issue Discipline:
Author

Volume :10 Issue : 2 2003      Add To Cart                                                                    Download

Chaos and Non-Linearity in the Saudi Stock Market

Auther : Ahmed A. Asseery
Hamad M. AL-Sheikh

This study investigates the statistical properties of the Saudi nominal stock returns using weekly data for the period March 1985 – December 1997. The study provides estimates of GARCH and TGARCH models for the full sample and the sub-periods prior to and after the price correction occurrence at the end of 1992. The study takes into account the effect of the Gulf war and the shift in volatility observed in the first sub-period. It is demonstrated that the observed significant effect of bad news in stock returns on volatility for the whole sample is mainly due to the second sub-period. While the statistics of the semi-parametric of Geweke and Porter-Hudak (1983) denoted by GPH test indicate that the stock returns exhibit no long-memory for the various sample period considered, the results of the BDS test, Brock, Dechert and Scheinkman (1987), generally point to the presence of low-dimensional chaotic dynamics in the sub-period prior to the price correction.

Journal of Law
Journal of Law

You are Visitor No.

77631

Journal of Law
Tell your friendsJournal of Law
Journal of Law
Journal of Law

Last Updated

Nov 19, 2019

Journal of Law
Journal of Law
Journal of Law

Please enter your email Here to receive our news

Journal of Law