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ARTÍCULO
TITULO

Does Volatility Generate Major and Minor Stocks in Saudi Stocks Market? 10.33019/ijbe.v4i1.239

Yassin Ibrahim Eltahir    
Osama Azmi Sallam    
Hussien Omer Osman    
Fethi Klabi    

Resumen

This study attempts to answer the main question: are there reciprocal effects between the variances of the stock returns in the Saudi market, also the answer to a sub-question. What are the leading stocks in the Saudi market?. Study selected a sample of five stocks representing the basic materials, banking, services, food and transport sectors (SABIC, Al Rajhi, Etisalat, Almarai and Al Bahri respectively). The data sample for the period from 2011 to 2016 is taken, which represents the lifespan of the five-year plan. Daily stock returns were calculated during this period. Study applies the M GARCH-VEC methodology to estimate stock return variances and then perform a multiple regression of five equations using the ARCH Heteroscedasticity estimator. Results of the analysis show a positive effect between stock return variances as well as a positive automatic variance of all stocks returns variances. Finally, the results of the regression analysis of the various equations show that the returns variances of SABIC and Al Rajhi stocks have a dominant impact on the rest of the stock's returns. So they are considered as leading stocks in the market. While the variances returns of Etisalat, Almarai and Al Bahri have a limited impact on the rest of the stocks variances returns, so they are considered as minor stocks

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