Title: Does the entry of foreign investors influence the volatility of Doha Securities Market?

Authors: Abdelgader M.A. Abdullah, Hassan B.A. Ghassan

Addresses: School of Management Studies, University of Khartoum, P.O. Box 321, Khartoum, Sudan. ' College of Management Sciences and Planning, King Faisal University, P.O. Box 1760, AL-Hassa, Kingdom of Saudi Arabia

Abstract: The paper examines the presence of structural changes in Doha Securities Market (DSM) by using GARCH models during the period 2002-2008. This issue is related to the market liberalisation reforms permitting foreign investors to enter the equity market in 2005. The analysis reveals a high risk in return equation. The GARCH-Mean model shows that the information flow provided to the market comes from the risk and return variables. There is a high persistence of the shocks in the volatility, but it was less in the first sub-period compared with its persistence after the entry of foreign investors.

Keywords: DSM; Doha securities market; EGARCH; Qatar; returns; market volatility; structural change; market reforms; market liberalisation; foreign investors; equity markets; information flow; market risks; risk assessment.

DOI: 10.1504/IJMEF.2010.035597

International Journal of Monetary Economics and Finance, 2010 Vol.3 No.4, pp.359 - 373

Published online: 01 Oct 2010 *

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