Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You and Your Team.

Learn More →

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

Refai, Hisham Al; Hassan, Gazi Mainul
Journal of Emerging Market Finance , Volume 17 (2_suppl): 20 – Aug 1, 2018
Download PDF
20 pages
Read Article

Loading next page...
 
/lp/sage/the-impact-of-market-wide-volatility-on-time-varying-risk-evidence-nrTpKVJMzm
Publisher
SAGE
Copyright
© 2018 Institute of Financial Management and Research
ISSN
0972-6527
eISSN
0973-0710
DOI
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 Finance – SAGE

Published: Aug 1, 2018

There are no references for this article.

You’re reading a free preview. Subscribe to read the entire article.

Try 2 weeks free now

DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

or browse the journals available

Search

Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly

Organize

Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.

Access

Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

DeepDyve

Freelancer

DeepDyve

Pro

Price

FREE

$49/month
$499/year

Save searches from
Google Scholar,
PubMed

Create folders to
organize your research

Export folders, citations

Read DeepDyve articles

Abstract access only

Unlimited access to over
18 million full-text articles

Print

20 pages / month

Sign up
for free
Start 14 day
Free Trial