Investigation of the relationship between trading volume, volatility and indices returns : Evidence from MENA region countries /
Haytham Abdelaziz Hussein Elkabbani ; Supervised Osama Abdelkhalek Elansary
- Cairo : Haytham Abdelaziz Hussein Elkabbani , 2019
- 82 Leaves : charts ; 30cm
Thesis (Ph.D.) - Cairo University - Faculty of Commerce - Department of Business Administration
Purpose: This research intends to study the relationship between the volume of trading, volatility and stocks returns using GARCH (1,1) model and casualty tests in the MENA region countries. The researcher uses LN volume as measurement for the trading volume and to measure the volatility the standard deviation is being employed. Data sample consists of the stock market indices for 11 countries located in MENA region, namely, Dubai, Egypt, Saudi Arabia, Bahrain, Israel, Jordon, Kuwait, Abu Dhabi, Oman, Lebanon and Qatar. Design/methodology/approach: Time series analysis for the period from November 24, 2008 to August 30, 2016 on a daily basis is being investigated for the analysis of trading volume and indices returns relationship, while analysis of the relationship between volatility and indices returns used in the research spans from January, 2009 and August, 2016. The researcher analyzes each country, as well as overall performance for the whole MENA region to reach the conclusion of the relationship between the trading volume and volatility as independent variable and indices returns as a dependent variable. The researcher extracts data on a daily basis to measure the relationship between trading volume and indices return, meanwhile calculated the volatility on a monthly basis due to data availability. Reuters data base had been utilized to extract the information in relation with the data of the research