Journal article
Macro determinants of stock market volatility: evidence from Middle East region

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Publication Details
Author list: Mahmoud Abdelaziz Touny, Mostafa Ahmed Radwan and Mahmoud M. Hussein Alayis
Publisher: Inderscience
Publication year: 2021
Journal: Afro-Asian Journal of Finance and Accounting
Journal acronym: AAJFA
Volume number: 11
Issue number: 3
Start page: 376
End page: 391
Number of pages: 16
ISSN: 1751-6447
Web of Science ID:
PubMed ID:
Scopus ID: 85108507209
eISSN: 1751-6455

 Stock market volatility (SMV) and investor decisions are influenced greatly by macroeconomic and political variables at the global, regional and local levels. By using unbalanced panel data from some Middle East countries over the period from 1996 to 2016, this study aims to provide empirical evidence about the macro determinants of SMV. The results of the feasible generalised least squares (FGLS) model indicate that, on the one hand, inflation, corruption and the stock market capitalisation and turnover ratios have a positive and significant impact on SMV. On the other hand, economic growth, financial freedom and stock market returns seem to have a negative and significant effect on SMV. The outcomes of this study provide some policy implications for Middle East countries’ policy makers in managing and relieving volatility in their countries’ stock market prices. 

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Last updated on 2022-03-01 at 12:59