Asset Details
Do you wish to reserve the book?
Stock Price Returns and Risk in the Saudi Stock Market
Hey, we have placed the reservation for you!
By the way, why not check out events that you can attend while you pick your title.
Oops! Something went wrong.
Looks like we were not able to place the reservation. Kindly try again later.
Are you sure you want to remove the book from the shelf?
Stock Price Returns and Risk in the Saudi Stock Market
Do you wish to request the book?
Stock Price Returns and Risk in the Saudi Stock Market
Please be aware that the book you have requested cannot be checked out. If you would like to checkout this book, you can reserve another copy
We have requested the book for you!
Your request is successful and it will be processed during the Library working hours. Please check the status of your request in My Requests.
Oops! Something went wrong.
Looks like we were not able to place your request. Kindly try again later.
Journal Article
Stock Price Returns and Risk in the Saudi Stock Market
2011
Overview
This study examines the relationship between stock returns and risk (volatility) using two models-the generalized autoregressive conditional heteroskedasticity in mean (GARCH-M) model and the exponential generalized autoregressive conditional heteroskedasticity (E-GARCH) model. The findings were mixed for the relationship between stock price returns and risk (volatility). In relation to the GARCH-M model, both the conditional variance and the conditional standard deviation were used as measures of risk (volatility). The empirical evidence suggests that returns and volatilities are significantly and negatively correlated for two of the six sectors and for the whole market, and no significant relationship was found for the remaining sectors. When using the E-GARCH model, the returns and volatilities are significantly and negatively correlated at one percent for the electricity and industry, and five percent for the whole market and for the service sectors. No significant relationship was found for the remaining sectors.
Publisher
جامعة الملك سعود
Subject
We currently cannot retrieve any items related to this title. Kindly check back at a later time.