| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 963470 | Journal of International Financial Markets, Institutions and Money | 2012 | 17 Pages |
Abstract
⺠We investigate the pricing of idiosyncratic volatility in six GCC stock markets. ⺠We confirm AHXZ (2006) negative relationship for Saudi Arabia and Qatar. ⺠The sign turns positive when we measure idiosyncratic volatility by EGARCH/AR Models. ⺠We test the relationship between pricing and country governance level. ⺠Risk pricing is weaker in higher country governance and not in financial development.
Related Topics
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Economics and Econometrics
Authors
Jorg Bley, Mohsen Saad,