Asset Pricing Movements Shaped by Investors’ Behaviour: A DCC-GARCH Perspective on Saudi Arabia's TASI Index
| المصدر: | مجلة الاقتصاد الصناعي - خزارتك |
|---|---|
| الناشر: | جامعة باتنة 1 الحاج لخضر - كلية العلوم الاقتصادية والتجارية وعلوم التسيير - مخبر الدراسات الاقتصادية للصناعة المحلية |
| المؤلف الرئيسي: | Meliani, Yassine (Author) |
| مؤلفين آخرين: | Djediden, Lahcene (Co-Author) |
| المجلد/العدد: | مج14, ع2 |
| محكمة: | نعم |
| الدولة: |
الجزائر |
| التاريخ الميلادي: |
2024
|
| الشهر: | ديسمبر |
| الصفحات: | 120 - 144 |
| ISSN: |
1112-7856 |
| رقم MD: | 1543400 |
| نوع المحتوى: | بحوث ومقالات |
| اللغة: | الإنجليزية |
| قواعد المعلومات: | EcoLink |
| مواضيع: | |
| كلمات المؤلف المفتاحية: |
Investors’ Behaviour | Investors’ Sentiment | Conditional Correlation | Financial Market
|
| رابط المحتوى: |
الناشر لهذه المادة لم يسمح بإتاحتها. |
| المستخلص: |
The study used a DCC-GARCH model to investigate the conditional association between the sentiment indexes and the TASI returns using weekly data from January 7, 2010, to August 1, 2024. The empirical analysis indicates that investor sentiment has a significant impact on the TASI index, with both positive and negative attitudes showing a strong correlation with changes in the market. The results also show how changes in oil and exchange rates have a knock-on effect on investor sentiment. The study provides valuable insights into the role investor attitude plays in asset pricing in the Saudi Arabian environment, particularly when accounting for external factors such as economic conditions and geopolitical threats. |
|---|---|
| ISSN: |
1112-7856 |
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