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The value premium and idiosyncratic risk: case of GCC

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dc.contributor.authorShah Mohammad Ali
dc.contributor.supervisorMohamed Eskandar Shah Mohd Rasid
dc.date.accessioned2017-04-27T11:05:09Z
dc.date.available2017-04-27T11:05:09Z
dc.date.issued2016
dc.description.abstractThe purpose of this study was to find whether value premium exists in the context of GCC markets, and if it does, whether idiosyncratic risk explain its presence. The sample consisted of stock indices and company level stock prices from three GCC countries: Oman, Kuwait and Saudi Arabia. The economic model used CAPM and the analyses were divided into 2 parts: the first part involves testing idiosyncratic risk has impact on value premium using GARCH-M and EGARCH-M model. It was found that value premium does exist in Gulf markets with positive significant relationship between value premium and idiosyncratic risk for Oman and Kuwaiti markets ...en_US
dc.identifier.citationAli, S. M. (2016). The value premium and idiosyncratic risk: case of GCC (Master dissertation). INCEIF, Kuala Lumpur. Retrieved from https://ikr.inceif.org/handle/INCEIF/2371en_US
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/2371
dc.languageEnglish
dc.language.isoengen_US
dc.publisherINCEIFen_US
dc.rights2016. INCEIF
dc.sourceGS
dc.subjectAsset pricing
dc.subjectCAPM
dc.subjectGARCH (1,1)
dc.subjectGARCH-M
dc.subjectEGARCH-M GCC
dc.subjectIdiosyncratic risk
dc.subjectMarket volatility
dc.subjectValue premium
dc.subjectProject paper (MIF)
dc.titleThe value premium and idiosyncratic risk: case of GCCen_US
dc.typeMasteren_US
dlc.maintopicIslamic capital marketsen_US
dspace.entity.typePublication
ikr.doctypeTheses
ikr.licenseAvailable in physical copy only (Call Number: t HG 5712 A3 A398)
ikr.topic.maintopicIslamic capital marketsen_US
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