reduce the return volatility of TASI. From the EGARCH-M models, it is reflected through the leverage effect that negative …

important factors influencing the returns in the Saudi Stock Exchange (TASI) based on the macroeconomic variables of Saudi …As we know investment in the Saudi stock market (TASI) is gaining popularity particularly since 2001 (Report of … Aljazira Capital ¨C 2010), it is important to know the impact of different macro-economic variables on the returns of the Saudi …

This study makes an endeavor to examine the existence of linkages between Saudi Stock Market Index (TASI) and the …, Johansen Co-integration, and Pairwise Causality tests. The results have demonstrated that volatility of TASI returns have … findings of the study shall sanguinely carve a niche on the literature domain of Saudi Stock Market Index (TASI). …

We introduce a general approach to nonlinear quantile regression modelling based on the copula function that defines … quantiles. Econometrica, 46, no. 1: 33-50.) original statement of the quantile regression problem by determining a distribution … for the dependent variable Y conditional on the regressors X, and hence the specification of the quantile regression …

detected between volume and returns in post rolling settlement period for both NIFTY and SENSEX. Positive relationship between … return, volume and volatility in Indian stock market using daily data of closing prices and volume of NIFTY index of NSE and … volume and return has been seen in only pre-rolling settlement period in both indices (NIFTY and SENSEX). This indicates that …

different lexica sentiment variables. These are employed for an analysis of stock reactions: volatility, volume and returns. An … increased (negative) sentiment will in uence volatility as well as volume. This influuence is contingent on the lexical … produce stock reaction indicators, including volatility, detrended log trading volume and return? (ii) To which degree is …

volume of trade, 4. Many investors thought that they could predict the market, 5. Both buyers and sellers generally thought …