الانفتاح المالي وتقلب أسواق الأوراق المالية دراسة تحليلية لبعض الأسواق العربية

صادق عبد الله أبو طالب; فهمي محمد احمد الصلوي

doi:10.55074/hesj.vi45.1350

Authors

Sadiq ABdullah Abu Talib Assistant Professor, Financial Markets and International Finance Department of Financial and Banking Sciences Faculty of Administrative Sciences University of Taiz - Yemen
Fahmy Mohamed Ahmed Al-Salawi Assistant Professor, Applied Statistics Department of Data Science and Information Technology Faculty of Administrative Sciences University of Taiz - Yemen

DOI:

https://doi.org/10.55074/hesj.vi45.1350

Keywords:

Financial Restraint, Financial Openness, Volatility of Capital Markets

Abstract

The aim of the research is to measure the impact of financial openness on the stock markets of Arab countries, specifically focusing on the markets of Saudi Arabia, Abu Dhabi, Bahrain, Egypt, Iraq, and Oman. The study tests the hypothesis of the relationship between financial openness and the volatility of the stock markets under investigation, examining how financial openness affects stock return volatility, the random walk of stock prices, and the impact of financial openness on shocks or leverage affecting volatility in these markets. Various statistical tests were employed, including the unit root test to assess the stability of the time series of stock index returns, as well as the use of Autoregressive Conditional Heteroskedasticity (ARCH) models, Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models, and Exponential Generalized ARCH (EGARCH) models. The main findings of the research indicate that financial openness did not have an effect on the stability of the stock markets studied, which remained in a state of varying volatility. All markets exhibited prolonged periods of volatility. Additionally, financial openness had a more significant impact on negative financial shocks (leverage) than on positive shocks, attributed to the presence of asymmetric information within these markets. Furthermore, financial openness did not improve the efficiency of the stock markets under investigation.

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