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Overreaction, heteroscedasticity, and spillovers in stock returns: Evidence from the Kuwait Stock Exchange.

机译：反应过度，异方差和股票收益溢出：来自科威特证券交易所的证据。

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摘要

This research examines stocks' returns and volatility in the Kuwait Stock Exchange (KSE). The research is organized in five chapters. The first chapter provides an introduction of the research, its importance, and its main goals. The second chapter presents a historical background of the KSE and the stages it experienced to reach its current situation. The main goal of this chapter is to pave the road for the subsequent chapters. Then, the third chapter tests the overreaction hypothesis using monthly data for stocks listed on the Kuwait Stock Exchange over the 1993--2002 period. Similar to the findings of De Bondt and Thaler (1985, 1987), this chapter finds significant systematic price reversals for stocks that experience extreme long-term gains or losses: Past losers significantly outperform past winners. This is consistent with the behavioral hypothesis of investor overreaction. The results indicate that, on average, abnormal returns in January are not the main driver behind the overreaction phenomenon in the KSE.; The fourth chapter investigates the stock index returns volatility in the KSE for the period from 1984 through 2003. Models of autoregressive conditional heteroscedasticity (ARCH), generalized autoregressive conditional heteroscedasticity (GARCH), and GARCH-in-Mean (GARCH-M) are fitted to the index returns. The results strongly indicate that the returns series exhibit significant ARCH and GARCH effects with non-normality. A GARCH(1,1) model is demonstrated to be a suitable specification of the process. Additionally, the findings show that the persistence of volatility shocks is substantial.; Finally, chapter five examines return and volatility spillover effects among the eight sectors listed in the KSE for the period of 1992 through 2003. This chapter also analyzes the impact of world oil price fluctuations as well as the day of the week effect on sectors' returns and volatility. Using GARCH and TARCH models, the findings indicate statistically significant spillover effects from the Food sector to the rest. These spillover effects are negative on sectors' returns, but positive on sectors' volatilities. The results also demonstrate that movements in world oil prices have no significant influence on sector's returns or volatilities in the KSE. In addition, the day of the week effect is found to be present in sectors' returns as well as in sectors' volatilities. Finally, the estimation results of the TARCH(1,1) model indicate no statistically significant asymmetric information effects.
机译：这项研究检查了科威特证券交易所（KSE）的股票收益和波动率。研究分为五个章节。第一章介绍了研究，其重要性和主要目标。第二章介绍了KSE的历史背景以及达到当前状况所经历的阶段。本章的主要目的是为后续各章铺平道路。然后，第三章使用1993--2002年期间在科威特证券交易所上市的股票的月度数据来检验过度反应假说。与De Bondt和Thaler（1985，1987）的发现相似，本章发现经历了长期长期获利或亏损的股票存在重大的系统价格反转：过去的失败者明显优于过去的赢家。这与投资者过度反应的行为假设是一致的。结果表明，平均而言，1月份的异常收益并不是KSE过度反应现象的主要推动力。第四章研究了1984年至2003年期间KSE的股指收益波动率。拟合了自回归条件异方差（ARCH），广义自回归条件异方差（GARCH）和均方根GARCH（GARCH-M）的模型返回索引。结果强烈表明，收益序列表现出显着的ARCH和GARCH效应，且具有非正态性。 GARCH（1,1）模型被证明是该过程的合适规范。此外，研究结果表明，波动性冲击的持久性是巨大的。最后，第五章研究了1992年至2003年KSE列出的八个部门之间的收益率和波动率溢出效应。本章还分析了世界石油价格波动的影响以及周几对部门收益率的影响。和波动。使用GARCH和TARCH模型，研究结果表明，从食品行业到其他行业的溢出效应具有统计意义。这些溢出效应对行业的收益是负面的，但对行业的波动性却是正面的。结果还表明，世界石油价格的波动对KSE部门的收益或波动没有重大影响。此外，发现部门收益和部门波动率中都存在星期几效应。最后，TARCH（1,1）模型的估计结果表明没有统计上显着的不对称信息影响。

著录项

  • 作者

    Al-Hashel, Mohammad Yousef.;

  • 作者单位

    Old Dominion University.;

  • 授予单位 Old Dominion University.;
  • 学科 Economics Finance.
  • 学位 Ph.D.
  • 年度 2003
  • 页码 131 p.
  • 总页数 131
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 财政、金融;
  • 关键词

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