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Register a new userPrice Limits and Volatility of stock returns in Damascus Stock Exchange
الحدود السعرية و تقلبات عوائد الأسهم في سوق دمشق للأوراق المالية
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Aِl-Baath University ورقة بحثية
Publication date
2017
fields
Financial
and research's language is
العربية
Created by
Shamra Editor
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سعت هذه الدراسة إلى البحث في تأثير الحدود السعرية على تقلبات عوائد الأسهم في سوق دمشق للأوراق المالية، حيث كانت فترة الدراسة مقسمة إلى فترتين فترة الاختبار الأولى 3\3\2009 و لغاية 23\12\2011 ، فترة الاختبار الثانية 13 /2/ 2011 و لغاية 2017/3/30 ، وباستخدام نموذج (1, 1) GARCH.
This study sought to investigate the effect of price limits on the volatility of stock returns on the Damascus Stock Exchange. Where the study period divided into two periods the first test period 3/3/2009 and until 23/6/2011, the second test period 13/2/2011 until 30/3/2017. Using the model (1,1) GARCH.
References used
BOLLERSLEV, T 1986 Generalized Autoregressive Conditional Heteroscedasticity, Journal of Econometrics, Vol. 31. 307-327
CHONG,T. WANG,D and CHAN,W 2014 Price Limits and Stock Market Volatility in China, Terence, MPRA Paper, Vol.1. 1-30
ENGLE, R 2001 The Use of ARCH/GARCH Models in Applied Econometrics, Journal of Economic Perspectives, Vol. 15. 1-160
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This study aims at investigating the impact of the expansion of price
limits on the volatility of Damascus Securities Exchange, by
comparing the fluctuations of the market under three different price
limits systems, since the opening of the market
until the end of 2014.
Results of the study showed that the price limits expanding in the
Damascus Securities Exchange leads to an increase in the volatility of
stock returns. Consequently, setting narrower price limits will reduce
the volatility, and this confirms the effectiveness of the system of price
limits in reducing the volatility of Damascus Securities Exchange.
The stock market conditions are a mirror reflecting the general
economic situation in the country ,and the stability of these markets
measure of the general economic policy of the country of success
,and then be trying to understand the fluctuatio
ns in stock prices and
their relationship to economic ,financial and monetary factors and
financial crises.
The research examines the effect of inflation on the returns of index
in Damascus Stock Exchange (DSE),the monthly data for the rate of
inflation for the Damascus market indices has been collected during
the period (2010-2013).
The researcher concluded that there is a weak positive relationship
but insignificant for inflation rate on the return of market index in(
DSE) during the study period.
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 E
ffect. 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.
This study aimed to examine the weak form efficiency of the
Damascus Securities Exchange (DSE). The study used the monthly
returns, adjusted for thin trading, of firms listed in the Damascus
Securities Exchange from 2009 until 2014 and applied var
ious tests
to examine the random walk behavior in returns: the unit root test,
the autocorrelation test, the runs test and the GARCH model. To
take the impact of the Syrian crisis into account when judging the
efficiency of the market, the study period was divided into three
periods, the pre-crisis period, the crisis period and the whole period.
The results revealed inability to reject the weak form efficient
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.
This research aims to identify the possibility of using the information of accruals (Depreciation and Provision) basis in predicting stock market returns for companies listed at Damascus Security Exchange. The study is applied on (11) companies durin
g the period from the first quarter of 2010 until the second quarter of 2014. The hypotheses are tested using approach of simple and multiple linear regression. The research conclude that the information of accruals basis can’t predict stock market returns for next period for companies listed at Damascus Security Exchange, unless the control variables are entered, Book to Market ratio, Beta & Earning to Price ratio.
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