Modelling the dynamics of stock market in the gulf cooperation council countries: evidence on persistence to shocks

Modelling the dynamics of stock market in the gulf cooperation council countries: evidence on persistence to shocks

Abstract This study examines the statistical properties required to model the dynamics of both the returns and volatility series of the daily stock market returns in six Gulf Cooperation Council countries, namely Bahrain, Oman, Kuwait, Qatar, Saudi Arabia, and the United Arab Emirates, under differe...

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Bibliographic Details
Main Authors: Heni Boubaker, Bassem Saidane, Mouna Ben Saad Zorgati
Format: Article
Language:English
Published: SpringerOpen 2022-05-01
Series:Financial Innovation
Subjects:
Long-memory
Volatility process
Asymmetric power
Seasonality
Forecast performance
Stock market
Online Access:https://doi.org/10.1186/s40854-022-00348-3

Internet

https://doi.org/10.1186/s40854-022-00348-3

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