This study examines the regime shifts in volatility in the stock markets of Gulf Cooperation Council (GCC) countries by employing the iterated cumulative sum of squares generalized autoregressive conditional heteroscedasticity (ICSSGARCH) model. Using the weekly data over the period 2003-2010,...

This study examines the regime shifts in volatility in the stock markets of Gulf Cooperation Council (GCC) countries by employing the iterated cumulative sum of squares generalized autoregressive conditional heteroscedasticity (ICSSGARCH) model. Using the weekly data over the period 2003-2010,...

In this study, we have investigated GCC stock market volatilities exploiting a number of asymmetric models (EGARCH, ICSS-EGARCH, GJR-GARCH, and ICSS-GJR-GARCH).This paper uses the weekly data over the period 2003-2010. The ICSS-EGARCH and ICSS-GJR-GARCH models take into account the discrete...

This paper examines the applicability of CAPM in explaining the risk-return relation in the Malaysian stock market for the period of January 1995 to December 2006. The test, using linear regression method, was carried out on four models: the standard CAPM model with constant beta (Model I), the...

The Rational Expectations Hypothesis (REH) states that the actual outcome will be identical to the optimal forecast when all obtainable information had been utilized in forming the expectations. This study intends to empirically examine the existence of rational behavior in the banks and other...

This paper examines the reaction of KLCI and five major power sector stocks listed on Bursa Malaysia to the changes in the world spot oil price using cointegration technique and impulse response analysis. Results indicate the existence of a long run positive relationship of world spot oil price...

In this paper we introduce an analyzing procedure using the Kullback-Leibler information criteria (KLIC) as a statistical tool to evaluate and compare the predictive abilities of possibly misspecified density forecast models. The main advantage of this statistical tool is that we use the...

Being able to choose most suitable volatility model and distribution specification is a more demanding task. This paper introduce an analyzing procedure using the Kullback-Leibler information criteria (KLIC) as a statistical tool to evaluate and compare the predictive abilities of possibly...