Investor Risk Aversion in Emerging Markets

الموضوعات

اقتصاد

الملخص

This thesis aims to investigate the investors risk aversion level in the Saudimarket by identifying the degree of impact for seven key determinants that are broadlycategorized under economic and financial indicator.Methodology- Using vector autoregression model (VAR) to estimate the impact on thedegree of investor risk aversion market in the Saudi Market through capturinginterdependencies among the following multiple time series; (1) stock market returns, (2)volatility index, (3) country political risk, (4) oil prices, (5) Federal funds rate, (6) realGDP, and (7) public debt. The model uses data with monthly frequency for 13 years,January 2006 - December 2019, and uses stock returns as the proxy for the risk aversion.Findings- The primary findings of the study are as follows: (1) only oil prices hadsignificant influence on the risk aversion degree using (VAR); (2) all responses to shockslast around two months in the market; (3) the investors will have “ flight-to quality”response to shocks in stock market; (4) the investor risk aversion degree in Saudi market islargely independent of the other variables; and (5) when applying ARDL, Federal fundsrate had significantly high influence on risk aversion proxy.

روابط وملفات

التعريف والنوع

رقم الوثيقة

0a870f62-d16f-4934-b9c9-b84cbad487eb

رقم العقد

0

نوع الوسائط

Crawler

نوع المحتوى

الرسائل العلمية

صيغة المصدر

رسائل ماجيستير

نوع الملف

pdf text

أسماء الملفات

2293317_1.pdf

بيانات النشر

ألقاب المؤلفين

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اللغة

English

المصدر والدورية

اسم المصدر

Investor Risk Aversion in Emerging Markets

المحتوى والصفحات

عدد الصفحات

0

كلمات الباحثين

VAR ARDL Risk Aversion Saudi Arabia

إشراف وإعداد

الإشراف

شبير أحمد حكيم

الإعداد

سوزان نبيل عباس فيده

الاقتباسات الببليوغرافية