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    Behaviour of Stock Return Autocorrelation in the GCC Stock Markets

    Access Status
    Fulltext not available
    Authors
    Chowdhury, H.
    Rahman, A.
    Sadique, Shibley
    Date
    2014
    Type
    Journal Article
    
    Metadata
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    Citation
    Chowdhury, H. and Rahman, A. and Sadique, S. 2014. Behaviour of Stock Return Autocorrelation in the GCC Stock Markets. Global Business Review. 16 (5): pp. 737-746.
    Source Title
    Global Business Review
    DOI
    10.1177/0972150915591420
    School
    Curtin Sarawak
    URI
    http://hdl.handle.net/20.500.11937/3976
    Collection
    • Curtin Research Publications
    Abstract

    There is overwhelming evidence of the presence of autocorrelation in stock returns in many previous studies. Since stock return correlation is related to predictability of stock prices, it is important to know the extent of autocorrelation and its underlying causes. This article investigates the autocorrelation structure of seven Gulf Cooperation Council (GCC) stock markets. All the markets except for Dubai and Kuwait show significant first-order autocorrelation of returns. Bahrain, Oman and Qatar exhibit strong positive whereas Abu Dhabi exhibits negative autocorrelation of returns. In general, return autocorrelation conditional on a negative return day is higher than that conditional on a positive return day. Autocorrelation between weekdays is usually larger than that between the first and last trading day of the week. Use of dynamic volatility models gives evidence that for almost all the markets negative feedback traders are the dominant players to contribute to the autocorrelation of returns. Thus, traders are very keen to realize their profits too often, resulting in significantly positive return autocorrelation.

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