The effect of financial liberalization on stock-return volatility in GCC markets

被引:19
|
作者
Bley, Jorg [1 ]
Saad, Mohsen [1 ]
机构
[1] Amer Univ Sharjah, Sch Business & Management, Sharjah, U Arab Emirates
关键词
Conditional volatility; Financial liberalization; GCC markets; RANGE-BASED ESTIMATION; ASSET PRICES; RISK; IMPACT; GLOBALIZATION; VALUATION; LISTINGS; EXCHANGE; MODELS;
D O I
10.1016/j.intfin.2011.04.003
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We estimate a cross-sectional time-series model to assess the impact of equity market liberalization and capital account openness on individual-firm stock return volatility in GCC (Gulf Cooperation Council) markets. We document evidence that international participation in local trades has no impact on idiosyncratic volatility and a rising impact on total volatility. In contrast, capital account openness significantly reduces total volatility, especially for stocks with low foreign ownership limits. Moreover, we find that the effect of restrictions on capital account transactions is stronger on capital inflows than outflows and on residents than nonresidents. The findings continue to hold for portfolio return volatility. Our results are important for GCC policy makers, portfolio managers, as well as academics. (C) 2011 Elsevier B. V. All rights reserved.
引用
收藏
页码:662 / 685
页数:24
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