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Register a new userTesting the Leverage Effect and Volatility Behavior in Damascus Stock Exchange
اختبار أثر الرافعة و سلوك التذبذب في سوق دمشق للأوراق المالية
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يهدف هذا البحث إلى اختبار مدى تمتع سوق دمشق للأوراق المالية ببعض الخصائص و السمات العامة التي تتصف بها معظم الأسواق المالية العالمية و العربية، و هي: خاصية عنقودية التباين، و خاصية التحول إلى المتوسط، و أثر الرافعة، و ذلك بتطبيق نموذجي GARCH و EGARC، باستخدام سلسلة زمنية تتضمن عوائد مؤشر السوق منذ انطلاق المؤشر في 31/12/2009 لغاية 16/4/2013. بحسب النتائج، تتمتع عوائد مؤشر سوق دمشق بخاصية عنقودية التباين، أي أن القيم الكبيرة للتذبذب اليوم ستكون متبوعة بقيم كبيرة للتذبذب في الغد. كما يتمتع المؤشر بخاصية أثر الرافعة، أي أن الصدمات السالبة سيكون لها أثر على مستوى التباين المشروط أكثر مما لو كانت الصدمة موجبة. لكن لا يتمتع المؤشر بخاصية التحول إلى المتوسط بسبب اتصاف التذبذب بالانفجاري.
This paper aims to check whether the index (DWX) of Damascus Stock Exchange (DSE) is characterized by some of the stylized facts of most of the international and Arab stock markets, as: Volatility Clustering, Reversion to the Mean, and the Leverage Effect. The GARCH and EGARCH models were applied using the returns series of DWX for a period from 31/12/2009 till 16/4/2013. The findings showed that DSE is characterized by: Volatility Clustering, meaning that large volatility today will be followed by large volatility tomorrow, Leverage Effect, meaning that volatility tends to rise more after a negative shock that a positive one, But the DWX is not characterized by the reversion to the mean process, due the explosive volatility of the index.
References used
ABDALLA,S.Z.S; WINKER, P. Modelling Stock Market Volatility Using Univariate GARCH Models: Evidence from Sudan and Egypt. International Journal of Economics and Finance. Vol. 4, No. 8, 2012
AGATHEE, U.S. Leverage Effects in the Mauritian's Stock Market. Oxford Business & Economics Conference Program. St. Hugh’s College, Oxford University, Oxford, UK. 2009
AHMED, A.E.M; SULIMAN, S.Z. Modeling Stock Market Volatility Using GARCH Models: Evidence from Sudan. International Journal of Business and Social Science. Vol. 2 No. 23. 2011
BOLLERSLEV, T. Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31, 307-327. 1986
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market hypothesis for more than half of the studied firms. Also it
showed that the Syrian crisis, in general, has negatively affected the
efficiency of most of the studied firms.
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