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The paper examines the presence of structural changes in Doha Securities Market (DSM) by using GARCH models during the period 2002-2008. This issue is related to the market liberalisation reforms permitting foreign investors to enter the equity market in 2005. The analysis reveals a high risk in return equation. The GARCH-Mean model shows that the information flow provided to the market comes from the risk and return variables. There is a high persistence of the shocks in the volatility, but it was less in the first sub-period compared with its persistence after the entry of foreign investors.

Does the entry of foreign investors influence the volatility of Doha Securities Market?