The Impact of Market-wide Volatility on Time-varying Risk: Evidence from Qatar Stock Exchange

The Impact of Market-wide Volatility on Time-varying Risk: Evidence from Qatar Stock Exchange This study examines the impact of market-wide volatility on time-varying risk using the heteroscedastic market model with EGARCH (1,1) specification. Using daily sector returns from the Qatar Stock Exchange (QSE) market over the period 2007–2015, we find that in terms of systematic risk, the large sectors are as vulnerable to overall market volatility as the small ones. In addition, the results reveal evidence for asymmetry in time-varying risk due to the impact of market-wide shocks on sector returns. Specifically, we find that market-wide upswings reduce the systematic risk for industrials, while market-wide downswings increase the systematic risk for real estate, telecommunication and transportation. Our modified model survives a battery of robustness checks. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Emerging Market Finance SAGE

The Impact of Market-wide Volatility on Time-varying Risk: Evidence from Qatar Stock Exchange

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Publisher
SAGE
Copyright
© 2018 Institute of Financial Management and Research
ISSN
0972-6527
eISSN
0973-0710
D.O.I.
10.1177/0972652718777083
Publisher site
See Article on Publisher Site

Abstract

This study examines the impact of market-wide volatility on time-varying risk using the heteroscedastic market model with EGARCH (1,1) specification. Using daily sector returns from the Qatar Stock Exchange (QSE) market over the period 2007–2015, we find that in terms of systematic risk, the large sectors are as vulnerable to overall market volatility as the small ones. In addition, the results reveal evidence for asymmetry in time-varying risk due to the impact of market-wide shocks on sector returns. Specifically, we find that market-wide upswings reduce the systematic risk for industrials, while market-wide downswings increase the systematic risk for real estate, telecommunication and transportation. Our modified model survives a battery of robustness checks.

Journal

Journal of Emerging Market FinanceSAGE

Published: Aug 1, 2018

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