Open AccessEstimating the risk-return tradeoff in MENA Stock Markets
Author(s) -
Salim Lahmiri
Publication year - 2013
Publication title -
decision science letters
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.384
H-Index - 18
eISSN - 1929-5804
pISSN - 1929-5812
DOI - 10.5267/j.dsl.2013.01.001
Subject(s) - stock (firearms) , econometrics , business , risk–return spectrum , financial economics , economics , geography , portfolio , archaeology
This study employs the generalized autoregressive conditionally heteroskedastic in the mean (GARCH-M) methodology to investigate the return generating process of Jordan, Kingdom of Saudi Arabia (KSA), Kuwait, and Morocco stock market indices. The tradeoff between returns and the conditional variance is found to be positive in all markets. In other words, the empirical findings show that investors are rewarded for their exposure to more risk in these financial markets. This result is consistent with both financial theory and empirical finance