海湾合作委员会股票市场:风险有多大?

ERN: Stock Market Risk (Topic) Pub Date : 2010-10-04 DOI:10.1504/IJMEF.2010.035595

I. Onour, B. Sergi

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引用次数: 7

摘要

本文利用时变系统风险模型，对海湾合作委员会(GCC)成员国沙特、科威特、迪拜和阿布扎比股市的风险进行了估计。本文的结果表明，沙特市场是集团中最危险的，因为它显示出更大范围的系统性风险。本文还表明，标准普尔500指数对海湾合作委员会市场波动的影响非常小，这意味着短期内内部因素比外部因素在波动动态中更重要。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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GCC Stock Markets: How Risky are they?

Using time-varying systematic risk model, the paper estimates risk in a number of stock markets in the Gulf Cooperation Council (GCC) countries, including Saudi, Kuwait, Dubai and Abu-Dhabi markets. The results in the paper indicate that Saudi market is the most perilous in the group, as it shows wider range of systematic risk. The paper also shows that the effect of S&P 500 is very minimal on GCC markets volatility, implying that internal factors are more important in the short term than external factors in volatility dynamics.

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ERN: Stock Market Risk (Topic)

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