Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.644529
Title: Dynamic interaction and volatility spillovers between the Saudi stock market and multiple financial markets
Author: Alghaith, Naif
Awarding Body: Swansea University
Current Institution: Swansea University
Date of Award: 2012
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Abstract:
There is a wealth of literature investigating the relationship between different financial markets such as stock markets and exchange rates, however, these studies do not reveal any theoretical or empirical agreement or any definite pattern or consistent relationship between these markets. It is encouraging to carry out further investigation of this kind especially keeping in mind the majority of the studies are dedicated to developed countries, neglecting developing countries, such as Saudi Arabia. This study contributes to the literature by carrying out an investigation into the dynamic interaction and the volatility spillovers between multiple financial markets and stock market in the emerging economy that is considered to be the biggest and the most important economy in the Middle East. Firstly, this study investigates the relationship between the Saudi stock market and three foreign exchange rates; Swiss Franc, British Pound, and the Euro. Secondly, it investigates the volatility spillovers between the two Saudi Arabia and major Middle Eastern stock markets in one hand and the Saudi stock market and major world equity markets on the other. The study employs multiple unit root testing starting from conventional unit root testing such as ADF, DF GLS, PP, and KPSS to more complex stationarity testing tools such as: non-linear unit root test ESTAR, GARCH unit root test, and M-TAR unit root test. For long-term analysis between the Saudi stock market and exchange rates, the study makes use of Engle and Granger co integration tests, ARDL bounds testing by Pesaran, Johansen, and Asymmetric co integration under M-TAR analysis. The study found no evidence in favour of the long-term relationships between the stock market and the exchange rates. On the other hand, it was discovered that short-term unidirectional causality effect do exist that run from two exchange rates to the return on the stock price after conducting Granger causality, and modified Sims causality test. For volatility spillovers analysis, univariate GARCH, Cross Correlation Function (CCF), multivariate GARCH BEKK, and rangebased volatility of Diebold and YiImaz (2009) are employed. Results on volatility spillovers analysis between the Saudi stock market and major Middle Eastern capital markets indicates the existence of volatility and return spillovers dominated by the Saudi stock market. It also suggests the existence of volatility spillovers coming from more advanced economies to the Saudi stock market dominated by the US and UK markets.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.644529  DOI: Not available
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