The Impact of Market-wide Volatility on Time-varying Risk: Evidence from Qatar Stock Exchange

This study examines the impact of market-wide volatility on time-varying risk using the heteroscedastic market model with EGARCH (1,1) specification. Using daily sector returns from the Qatar Stock Exchange (QSE) market over the period 2007–2015, we find that in terms of systematic risk, the large s...

Full description

Saved in:
Bibliographic Details
Published inJournal of emerging market finance Vol. 17; no. 2_suppl; pp. S239 - S258
Main Authors Refai, Hisham Al, Hassan, Gazi Mainul
Format Journal Article
LanguageEnglish
Published New Delhi, India SAGE Publications 01.08.2018
Subjects
Qatar Stock Exchange (QSE)
time-varying risk
Schwert and Seguin model
asymmetric volatility
EGARCH model
Online AccessGet full text

Cover

More Information
Summary:This study examines the impact of market-wide volatility on time-varying risk using the heteroscedastic market model with EGARCH (1,1) specification. Using daily sector returns from the Qatar Stock Exchange (QSE) market over the period 2007–2015, we find that in terms of systematic risk, the large sectors are as vulnerable to overall market volatility as the small ones. In addition, the results reveal evidence for asymmetry in time-varying risk due to the impact of market-wide shocks on sector returns. Specifically, we find that market-wide upswings reduce the systematic risk for industrials, while market-wide downswings increase the systematic risk for real estate, telecommunication and transportation. Our modified model survives a battery of robustness checks.
ISSN:0972-6527
0973-0710
DOI:10.1177/0972652718777083