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- W3157152306 abstract "The paper analyzes the time variation in volatility in Doha Securities Market and examines the presence of structural changes in GARCH-based conditional volatility during the period 2002-2008. This issue is related to the market liberalization reforms permitting foreign investors to enter the equity market in 2005.The analysis reveals that there is a high risk in return equation. It also indicates that the return is positively and more significantly related to the risk. The GARCH-Mean model shows that the volume term has a more significant parameter in both return and risk equations, and that the information flow provided to the market comes from the risk and return variables. There is a high persistence of the shocks in the volatility, but it was less in the first sub-period compared to its persistence after the entry of foreign investors." @default.
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- W3157152306 date "2009-01-01" @default.
- W3157152306 modified "2023-09-27" @default.
- W3157152306 title "Does the entry of foreign investors influence the volatility of Doha Securities Market" @default.
- W3157152306 hasPublicationYear "2009" @default.
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