How to cite this paper
Shaik, A & Syed, A. (2019). Intraday return volatility in Saudi Stock Market: An evidence from Tadawul All Share Index.Management Science Letters , 9(7), 1131-1140.
Refrences
Abdalla, S. Z. S., & Winker, P. (2012). Modelling stock market volatility using univariate GARCH models: Evidence from Sudan and Egypt. International Journal of Economics and Finance, 4(8), 161-176.
Abdalla, S.Z., & Idris, E.A. (2013). Volatility spillovers between stock market returns and exchange rate: Empirical evidence from Saudi Arabia and Egypt. Arab Journal of Administrative Sciences, 20(2), 341-363.
Afsal, E.M., & Haque, M.I. (2016). Market Interactions in Gold and Stock Markets: Evidence from Saudi Arabia. International Journal of Economics and Financial Issues, 6(3), 1025-1034.
Andersen, T.G., & Bollerslev, T. (1997). Heterogeneous information arrivals and return volatility dynam-ics: uncovering the long-run in high frequency returns. Journal of Finance, 52(3), 975–1005.
Andersen, T.G., Bollerslev, T., & Cai, J. (2000). Intraday and interday volatility in the Japanese stock market. Journal of International Financial Markets, 10(2), 107-130.
Arouri, M.E.H., Jouini, J., & Nguyen, D.K. (2013). On the relationship between world oil prices and GCC stock markets. HAL-00798037.
Arab Monetary Fund (2019). https://www.amf.org.ae/sites/default/files/econ/annual%20reports/en/Annual-Eng-2011.pdf
Baillie, R. T., Bollerslev, T., & Mikkelsen, H. O. (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 74(1), 3-30.
Banumathy, K., & Azhagaiah, R. (2015). Modelling Stock Market Volatility: Evidence from India. Man-aging Global Transitions, 13(1), 27-41.
Badshah, I., Frijns, B., Knif, J., & Rad, A.T. (2016). Asymmetries of the intraday return-volatility relation. International Review of Financial Analysis, 48(C), 182-192.
Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Economet-rics, 31(3), 307-327.
Chuang, C.C., Kuan, C.M., & Lin, H.Y. (2009). Causality in quantiles and dynamic stock return-volume relations. Journal of Banking & Finance, 33(7), 1351-1360.
Copeland, T. E. (1976). A model of asset trading under the assumption of sequential information arrival. Journal of Finance, 31(4), 1149–1168.
Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007.
Engle, R.F., Lilien., D.M., & Robins, R.P. (1987). Estimating time varying risk Premia in the term struc-ture: The Arch-M Model. Econometrica, 55(2), 391-407.
Ezzat, H., & Uludag, B.K. (2014). Information arrival and volatility: Evidence from the Saudi Arabia Stock Exchange (Tadawul). Panoeconomicus, 64(1), 45-59.
Fama, E.F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Fi-nance, 25(2), 383-417.
Foster, F.D., & Viswanathan, S. (1990). A theory of the interday variations in volume, variance, and trad-ing costs in securities markets. Review of Financial Studies, 3(4), 593–624.
Goudarzi, H., & Ramanarayan, C.S. (2010). Modeling and estimation of volatility in the Indian Stock Market. International Journal of Business and Management, 5(2), 85- 98.
Goudarzi, H., & Ramanarayanan, C.S. (2011). Modeling asymmetric volatility in the Indian Stock Market. International Journal of Business and Management, 6(3), 221-231.
Glosten, L. R, Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess returns on socks. Journal of Finance, 48(5), 1779-1791.
Han, Y., & Lesmond, D. (2012). Liquidity biases and the pricing of cross-sectional idiosyncratic volatility. Review of Financial Studies, 24(5), 1590 – 1629.
Haniff, M.N., & Pok, W.C. (2010). Intraday volatility and periodicity in the Malaysian stock returns. Re-search in International Business and Finance, 24(3), 329-343.
Hanse, P.R., Huang, H., & Shek, H.H. (2012). Realized Garch: A Joint Model for Returns and Realized Measures of Volatility. Journal of Applied Econometrics, 27(6), 877-906.
Harris, L. (1986). A transaction data study of weekly and intradaily patterns in stock returns. Journal of Financial Economics, 16(1), 99–117.
Hussain, F., Hamid, K., Akash, R.S.I., & Imdad, M. (2011). Day of the week effect and stock returns: Ev-idence from Karachi Stock Exchange-Pakistan. Far East Journal of Psychology and Business, 3(3), 25-31.
Jennings, R. H., Starks, L. T., & Fellingham, J. C. (1981). An equilibrium model of asset trading with se-quential information arrival. Journal of Finance, 36(1), 143–161.
Jiang, W. (2012). Modeling and predicting of different stock markets with GARCH model, Master Thesis, Sweden, Uppsala University.
Kalyanaraman, L. (2014). Stock market volatility in Saudi Arabia: An application of univariate GARCH model. Asian Social Science, 10(10), 142.
Lim, C.M., & Sek, S.K. (2013). Comparing the performances of GARCH-type models in capturing the stock market volatility in Malaysia. Procedia Economics and Finance, 5, 478-487.
Mandimika, N.Z., & Chinzara, Z. (2012). Risk-return trade-off and behaviour of volatility on the South African Stock Market: Evidence from both aggregate and disaggregate data, South African Journal of Economics, 80(3), 345-366.
Markowitz, H., & Blay, K. (2013). Risk-return analysis: The theory and practice of rational investing (1st ed ). New York: McGraw-Hill
Matei, M. (2009). Assessing volatility forecasting models: Why GARCH models take lead. Romanian Journal of Economic Forecasting, 4, 42-65.
Muller, G., Durand, R.B., Maller, R.A., & Klupperberg, C. (2009). Analysis of stock market volatility by continuous-time GARCH models. G.N. Gregoriou (Ed.), Stock Market Volatility, London, Chapman and Hall-CRC/Taylor and Francis, 31-50.
Nelson, D. B. (1991). Conditional heteroscedasticity in asset returns: A new approach. Econometrica, 59(2), 347-370.
Nikkinen, J., Omran, M., Sahlstrom, M., & Aijo, A. (2006). Global stock market reactions to scheduled U.S. macroeconomic news announcements. Global Finance Journal, 17(1), 92-104.
Perron, P. (1989). The Great Crash, the Oil Price Shock and the Unit Root Hypothesis. Econometrica, 57(6), 1361-1401.
Rabemananjara, R., & Zakoian, J. (1993). Threshold ARCH models and asymmetries in volatility. Journal of Applied Econometrics, 8(1), 31–49.
Rahman, A., Chowdhury, S. S. H.,& Sadique., S. (2013). Herding where Retail Investors Dominate Trad-ing: The Case of Saudi Arabia. Working Paper, University of Brunei Darussalam.
Rigobon, R., & Sack. B. (2003). Measuring the reaction of monetary policy to the stock market. The Quarterly Journal of Economics, 118(2), 639-669.
Spiegel, M., & Subrahmanyan, A. (1995). On intraday risk premia. Journal of Finance, 50(1), 319–339.
Shen, D., Zhang, W., Xiong, X., Li, X., & Zhang, Y. (2016). Trading and non-trading period Internet in-formation flow and intraday return volatility. Physica A, 451(C), 519-524.
Su, C. (2010). Application of EGARCH Model to Estimate Financial Volatility of Daily Returns: The em-pirical case of China, University of Gothenburg, School of Business, Economics and Law. Master De-gree Project No.2010:142.
Tabak, B.M., & Guerra, S.M. (2007). Stock returns and volatility: the Brazillian case. Economia Aplicada, 11(3), 329-346.
Tian, G., & Guo, M. (2007). Interday and intraday volatility: additional evidence from the Shanghai Stock Exchange. Review of Quantitative Finance and Accounting, 28(3), 287-306.
Ulussever, T., Yumusak, I.G., & Kar, M. (2011). The day-of-the-week effect in the Saudi Stock Ex-change: A non-linear Garch analysis. Journal of Economics and Social Studies, 1(1), 9-23.
Wongswan, J. (2006). Transmission of information across international equity markets. Review of Finan-cial Studies, 19(4), 1157-1189.
Abdalla, S.Z., & Idris, E.A. (2013). Volatility spillovers between stock market returns and exchange rate: Empirical evidence from Saudi Arabia and Egypt. Arab Journal of Administrative Sciences, 20(2), 341-363.
Afsal, E.M., & Haque, M.I. (2016). Market Interactions in Gold and Stock Markets: Evidence from Saudi Arabia. International Journal of Economics and Financial Issues, 6(3), 1025-1034.
Andersen, T.G., & Bollerslev, T. (1997). Heterogeneous information arrivals and return volatility dynam-ics: uncovering the long-run in high frequency returns. Journal of Finance, 52(3), 975–1005.
Andersen, T.G., Bollerslev, T., & Cai, J. (2000). Intraday and interday volatility in the Japanese stock market. Journal of International Financial Markets, 10(2), 107-130.
Arouri, M.E.H., Jouini, J., & Nguyen, D.K. (2013). On the relationship between world oil prices and GCC stock markets. HAL-00798037.
Arab Monetary Fund (2019). https://www.amf.org.ae/sites/default/files/econ/annual%20reports/en/Annual-Eng-2011.pdf
Baillie, R. T., Bollerslev, T., & Mikkelsen, H. O. (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 74(1), 3-30.
Banumathy, K., & Azhagaiah, R. (2015). Modelling Stock Market Volatility: Evidence from India. Man-aging Global Transitions, 13(1), 27-41.
Badshah, I., Frijns, B., Knif, J., & Rad, A.T. (2016). Asymmetries of the intraday return-volatility relation. International Review of Financial Analysis, 48(C), 182-192.
Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Economet-rics, 31(3), 307-327.
Chuang, C.C., Kuan, C.M., & Lin, H.Y. (2009). Causality in quantiles and dynamic stock return-volume relations. Journal of Banking & Finance, 33(7), 1351-1360.
Copeland, T. E. (1976). A model of asset trading under the assumption of sequential information arrival. Journal of Finance, 31(4), 1149–1168.
Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007.
Engle, R.F., Lilien., D.M., & Robins, R.P. (1987). Estimating time varying risk Premia in the term struc-ture: The Arch-M Model. Econometrica, 55(2), 391-407.
Ezzat, H., & Uludag, B.K. (2014). Information arrival and volatility: Evidence from the Saudi Arabia Stock Exchange (Tadawul). Panoeconomicus, 64(1), 45-59.
Fama, E.F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Fi-nance, 25(2), 383-417.
Foster, F.D., & Viswanathan, S. (1990). A theory of the interday variations in volume, variance, and trad-ing costs in securities markets. Review of Financial Studies, 3(4), 593–624.
Goudarzi, H., & Ramanarayan, C.S. (2010). Modeling and estimation of volatility in the Indian Stock Market. International Journal of Business and Management, 5(2), 85- 98.
Goudarzi, H., & Ramanarayanan, C.S. (2011). Modeling asymmetric volatility in the Indian Stock Market. International Journal of Business and Management, 6(3), 221-231.
Glosten, L. R, Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess returns on socks. Journal of Finance, 48(5), 1779-1791.
Han, Y., & Lesmond, D. (2012). Liquidity biases and the pricing of cross-sectional idiosyncratic volatility. Review of Financial Studies, 24(5), 1590 – 1629.
Haniff, M.N., & Pok, W.C. (2010). Intraday volatility and periodicity in the Malaysian stock returns. Re-search in International Business and Finance, 24(3), 329-343.
Hanse, P.R., Huang, H., & Shek, H.H. (2012). Realized Garch: A Joint Model for Returns and Realized Measures of Volatility. Journal of Applied Econometrics, 27(6), 877-906.
Harris, L. (1986). A transaction data study of weekly and intradaily patterns in stock returns. Journal of Financial Economics, 16(1), 99–117.
Hussain, F., Hamid, K., Akash, R.S.I., & Imdad, M. (2011). Day of the week effect and stock returns: Ev-idence from Karachi Stock Exchange-Pakistan. Far East Journal of Psychology and Business, 3(3), 25-31.
Jennings, R. H., Starks, L. T., & Fellingham, J. C. (1981). An equilibrium model of asset trading with se-quential information arrival. Journal of Finance, 36(1), 143–161.
Jiang, W. (2012). Modeling and predicting of different stock markets with GARCH model, Master Thesis, Sweden, Uppsala University.
Kalyanaraman, L. (2014). Stock market volatility in Saudi Arabia: An application of univariate GARCH model. Asian Social Science, 10(10), 142.
Lim, C.M., & Sek, S.K. (2013). Comparing the performances of GARCH-type models in capturing the stock market volatility in Malaysia. Procedia Economics and Finance, 5, 478-487.
Mandimika, N.Z., & Chinzara, Z. (2012). Risk-return trade-off and behaviour of volatility on the South African Stock Market: Evidence from both aggregate and disaggregate data, South African Journal of Economics, 80(3), 345-366.
Markowitz, H., & Blay, K. (2013). Risk-return analysis: The theory and practice of rational investing (1st ed ). New York: McGraw-Hill
Matei, M. (2009). Assessing volatility forecasting models: Why GARCH models take lead. Romanian Journal of Economic Forecasting, 4, 42-65.
Muller, G., Durand, R.B., Maller, R.A., & Klupperberg, C. (2009). Analysis of stock market volatility by continuous-time GARCH models. G.N. Gregoriou (Ed.), Stock Market Volatility, London, Chapman and Hall-CRC/Taylor and Francis, 31-50.
Nelson, D. B. (1991). Conditional heteroscedasticity in asset returns: A new approach. Econometrica, 59(2), 347-370.
Nikkinen, J., Omran, M., Sahlstrom, M., & Aijo, A. (2006). Global stock market reactions to scheduled U.S. macroeconomic news announcements. Global Finance Journal, 17(1), 92-104.
Perron, P. (1989). The Great Crash, the Oil Price Shock and the Unit Root Hypothesis. Econometrica, 57(6), 1361-1401.
Rabemananjara, R., & Zakoian, J. (1993). Threshold ARCH models and asymmetries in volatility. Journal of Applied Econometrics, 8(1), 31–49.
Rahman, A., Chowdhury, S. S. H.,& Sadique., S. (2013). Herding where Retail Investors Dominate Trad-ing: The Case of Saudi Arabia. Working Paper, University of Brunei Darussalam.
Rigobon, R., & Sack. B. (2003). Measuring the reaction of monetary policy to the stock market. The Quarterly Journal of Economics, 118(2), 639-669.
Spiegel, M., & Subrahmanyan, A. (1995). On intraday risk premia. Journal of Finance, 50(1), 319–339.
Shen, D., Zhang, W., Xiong, X., Li, X., & Zhang, Y. (2016). Trading and non-trading period Internet in-formation flow and intraday return volatility. Physica A, 451(C), 519-524.
Su, C. (2010). Application of EGARCH Model to Estimate Financial Volatility of Daily Returns: The em-pirical case of China, University of Gothenburg, School of Business, Economics and Law. Master De-gree Project No.2010:142.
Tabak, B.M., & Guerra, S.M. (2007). Stock returns and volatility: the Brazillian case. Economia Aplicada, 11(3), 329-346.
Tian, G., & Guo, M. (2007). Interday and intraday volatility: additional evidence from the Shanghai Stock Exchange. Review of Quantitative Finance and Accounting, 28(3), 287-306.
Ulussever, T., Yumusak, I.G., & Kar, M. (2011). The day-of-the-week effect in the Saudi Stock Ex-change: A non-linear Garch analysis. Journal of Economics and Social Studies, 1(1), 9-23.
Wongswan, J. (2006). Transmission of information across international equity markets. Review of Finan-cial Studies, 19(4), 1157-1189.