Assessing for the volatility of the Saudi, Dubai and Kuwait stock markets: time series analysis (2005-2016)

Bin Ateeq, Yazeed Abdulaziz I (2018) Assessing for the volatility of the Saudi, Dubai and Kuwait stock markets: time series analysis (2005-2016). Doctoral thesis (PhD), Manchester Metropolitan University.

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Abstract

The Kuwait, UAE and Saudi stock markets, alongside five specific firms from the latter, provided the indicator data for analysing market volatility. Autoregressive integrated moving average (ARIMA), Bayesian and Akaike analysis, Ljung-Box Q test, Partial autocorrelation function (PAC) and autocorrelation were the unit root tests applied, alongside matrix error, in this quantitative research. The study aims were to: assess weak-natured efficiency; contrast stock markets’ efficiency; explore market efficiency changes as time progresses. Statistics regarding matrices errors enabled variables influencing market efficiency to be established. Agreement on market efficiency has not been reached by researchers, with one shortcoming of EMH being lack of acknowledgement that an explored time frame may be characterised by varying efficiency levels. Consequently, the EMH and financial conduct have been subject to historiography, yet the connection between EMH and the financial behaviour model has not been the focus of studies using historical data. Accordingly, this research shortcoming tackled through this study, with the company-linked variables influencing stock market efficiency being identified through a literature review. Further, this study prospects identified, with the ongoing development of market efficiency and acceptance of inefficiency and efficiency’s simultaneous presence being the outcome. Finally, liberalisation, financial crises and reform in the Middle East and North Africa (MENA) region is a focus lacking in the extant research, with this study offering a further contribution in this regard. The study reveals that, with five companies and all countries characterised by market inefficiencies, which also changed as time progressed. Foremost efficiency characterised DSM, with SSM second, based on contrasting the obtained data’s random walk. The overall index had less efficiency than the specific firms. Concerning variables, SSM mark efficiency was not enhanced via crises or liberalisation, although it was by reform. Further, the research explains the results’ implications.