Price Limits and Volatility of stock returns in Damascus Stock Exchange


Abstract in English

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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