Title: The price–volume relationship in Gulf Cooperation Council stock markets

Authors: Abdelgader M.A. Abdalla, Ritab S. Al-Khouri

Addresses: School of Management Studies, University of Khartoum, P.O. Box 321, Khartoum, Sudan. ' Department of Economics and Finance, College of Business and Economics, Qatar University, P.O. Box 2713, Doha, Qatar

Abstract: This paper examines the empirical relationship among stock return, trading volume and volatility for the seven stock markets that comprise the Gulf Cooperation Council. The dataset includes seven national stock markets for the period spanning from 1 July 2004 to 3 September 2008. Granger causality test was used to explore whether return causes volume or volume causes return. The empirical results of Granger causality tests reveal that returns lead volume in five markets out of the seven markets. The results of the exponential generalised autoregressive conditional heteroskedasticity model provide evidence that shocks persist in the conditional variance, good news have different impact on market volatility than bad news and that the large shocks have large impact on the market volatility for all markets. In addition, the lag volume shows a significant and positive impact on volatility in four markets and no impact in three markets, namely Abu Dhabi, Bahrain and Doha.

Keywords: GARCH; generalised autoregressive conditional heteroskedasticity; Arab States; Gulf Cooperation Council; United Arab Emirates; UAE; Bahrain; Saudi Arabia; Kuwait; Qatar; Oman; Persian Gulf; stock exchanges; stock markets; Granger causality test; price volume relationships; VAR; vector autoregression; stock returns; trading volumes; market volatility; Abu Dhabi; Dubai; Muscat; Doha; large shocks; bad news; good news; lag volumes; positive impacts; economics; business research.

DOI: 10.1504/IJEBR.2011.037430

International Journal of Economics and Business Research, 2011 Vol.3 No.1, pp.15 - 28

Published online: 18 Apr 2015 *

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