This paper attempts to investigate the volatility of the Jordanian emerging stock market using daily observations from Amman Stock Exchange Composite Index (ASE) for the period from January 1, 1992 through December 31, 2004. Preliminary analysis of the data shows significant departure from...

Purpose – The purpose of this paper is to examine whether stock market liberalization creates excess stock return volatility in the Qatar Exchange (QSC). Design/methodology/approach – The study utilizes two methods, simple analysis of variance and the EGARCH model with dummy variables....