Does the entry of foreign investors influence the volatility of Doha Securities Market?

The paper analyzes the time variation in volatility in the 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 the 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. https://www.inderscience.com/info/inarticle.php?artid=35597