Price-volume relation behavior around structural breaks in Kuwait Boursa

Abdulsalam, Fayez A.; Bouresli, Amani kh.

doi:10.21511/im.15(2).2019.01

Cited by 3 publications

(1 citation statement)

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“…Tokić et al (2018), Kumaraswamy et al (2019) show that nowadays the efficient market hypothesis can't hold even in developing countries. The most recent study by Fayez and Amani (2019) shows that there is a positive relationship between price returns and trading volume in Kuwait Boursa, and this conclusion is inconsistent with the EMH.…”

Section: Introductionmentioning

confidence: 93%

Market anomalies and data persistence: The case of the day-of-the-week effect

Plastun¹,

Kozmenko²,

Plastun³

et al. 2019

Journal of International Studies

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This paper investigates the degree of persistence in the financial markets' data during different days of the week over the last twenty years. This allows taking a brand new look on the day-of-the-week effect and providing additional evidence against the efficient market hypothesis. The variety of the financial markets includes developed and emerging stock markets, FOREX, commodity and cryptocurrency markets. To measure the level of persistence the R/S analysis is used. The findings indicate that the level of persistence is different for different days of the week. This is inconsistent with the Efficient Market Hypothesis: data do not follow a random walk; and there can be indirect evidence in favor of the day-of-the-week effect. Conclusions on non-randomness of the data are important, because they allow choosing the best model to describe price dynamics so that to increase the predictive power of the existing models. Differences in the long-memory properties of the market data during different days of the week is an important finding that can lead to better understanding of the behavior of financial markets. High level of persistence implies data predictability, and therefore suggests that trend following technics can be applied to make profits from trading.

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Section: Introductionmentioning

confidence: 93%

Market anomalies and data persistence: The case of the day-of-the-week effect

Plastun¹,

Kozmenko²,

Plastun³

et al. 2019

Journal of International Studies

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Influence of monetary information signals of the USA on the Ukrainian stock market

Pavlov

Гринько

Pavlova

et al. 2020

Investment Management and Financial Innovations

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The stronger the level of economic integration between countries, the greater the need to study the formation patterns of the stock market reaction to the financial information signals. This concerns the Ukrainian stock market, which is now in its infancy, and which reaction to financial information signals is sometimes ambiguous. The research aims to identify the formation patterns of return and volatility indicators of the Ukrainian stock market reaction to the US financial information signals. To assess the direct nature of US financial information signals effect on the PFTS stock index, the GARCH econometric modeling toolkit was applied. The research information base is the PFTS stock index and the Federal Reserve System financial information signals at the discount rate for 2000–2019. The fetch is divided into intervals corresponded to the ascent and decline phases of the financial cycle. It was found that an unforeseen increase in the discount rate at the financial cycle decline phase by 25 basis points decreases the PFTS stock index return, on average by 2.9%. Besides, the hypothesis about the general change stabilizing effect in the discount rate on the Ukrainian stock market volatility at the financial cycle growth phase was confirmed. Nevertheless, for investors, the most essential is the regulator’s monetary signals in the discount rate at the financial cycle decline phases rather than at the ascent phases because there is a more significant increase in the volatility level.

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The Impact of the Covid-19 Pandemic on Boursa Kuwait Return Volatility

Ajmi

2021

IJBMR

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The main objective of this research is to detect the impact of COVID-19 on return volatility of Boursa Kuwait main indexes using EGARCH and TGARCH models on the daily data from the All Share, Premier and Main indexes. The mean return during COVID-19 from February 24 to August 31, 2020, for the three indexes was negative with a high volatility value in the standard deviation compared to a positive return and low standard deviation for the period January 2, 2019, to February 23, 2020. Both periods’ returns for the market indexes exhibited negative skewness, large kurtosis values and abnormal distributions. There were significant EGARCH negative values during the COVID-19 period in the All Share and Premier indexes indicating leverage effects. The Main index reflected positive significant values due to the positive effects of government procedures that were implemented to counter the pandemic. The TGARCH model indicated significant negative values for the All Share and Main indexes during COVID-19 with decreased volatility when positive news on COVID-19 was announced. Using the threshold generalized autoregressive conditional heteroscedasticity (TGARCH) the Premier index value is positive and significant indicating an asymmetric effect showing that volatility increased when negative news on COVID-19 was broadcast. This is an important inference for market participants and policy makers particularly when there is a difference in the magnitude of an asymmetry.

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Price-volume relation behavior around structural breaks in Kuwait Boursa

Cited by 3 publications

References 36 publications

Market anomalies and data persistence: The case of the day-of-the-week effect

Market anomalies and data persistence: The case of the day-of-the-week effect

Influence of monetary information signals of the USA on the Ukrainian stock market

The Impact of the Covid-19 Pandemic on Boursa Kuwait Return Volatility

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