عنوان

An empirical examination of conditional four-moment CAPM and APT pre-specified macroeconomic variables with market liquidity in Arab stock markets

Number

TLets548172

Title Proper

An empirical examination of conditional four-moment CAPM and APT pre-specified macroeconomic variables with market liquidity in Arab stock markets

General Material Designation

[Thesis]

First Statement of Responsibility

Ali, Abubaker Ali

Subsequent Statement of Responsibility

Greenwood, Robert ; Ward, Philippa

Name of Publisher, Distributor, etc.

University of Gloucestershire

Date of Publication, Distribution, etc.

2011

Dissertation or thesis details and type of degree

Thesis (Ph.D.)

Text preceding or following the note

2011

Text of Note

This thesis empirically examined conditional four-moment CAPM and APT pre-specified macroeconomic variables with market liquidity in four Arab stock markets, namely Jordan, Morocco, Tunisia and Kuwait over a period extended from January 1998 to December 2009. The desire to test these models in the Arab stock market was motivated by that fact that stock returns in these markets do not follow normal distribution and there exist third and fourth moments (skewness and kurtosis). More than 50% of the realised returns from the Arab stock market are lower than the risk free return, meaning the realised return is negative. Arab countries are different in terms of their economic situation and many have carried out economic reform programmes. In addition, their stock markets have been affected by multiple political and economic shocks. Arab stock markets are characterised by a low number of listed companies, low trading volume, low value of market capitalisation, and hence low market liquidity. Examination of the conditional four-moment CAPM was performed using panel data regression, whereas APT pre-specified macroeconomic variables with market liquidity by using six macroeconomic variables: industrial production, inflation, money supply, interest rate, exchange rate and oil price, panel data regression and Principal Components Analysis (PCA). The results of unconditional two-, three- and four-moment CAPM showed that there was not a significant positive relationship between beta and co-kurtosis, and return and that there was an insignificant relationship between co-skewness and return which was opposite to sign of market skewness in all stock markets included in the sample. However, the results of testing conditional two-, three- and four-moment CAPM showed a significant positive (negative) relationship between beta and return in an up (down) market in all the stock markets included in the sample. The results of conditional three- and four-moment CAPM showed a significant negative (positive) relationship between co-skewness and return when the market was up (down) in Jordan and Tunisia. Based on the results of conditional four-moment CAPM, a positive (negative) relationship between co-kurtosis and return in up (down) markets was found in Tunisia only when using a value weighted index (VWI). The results of panel data regression and PCA revealed that the most important macroeconomic variables that remain significant in explaining stock returns were oil price for Jordan and exchange rate and oil price for Kuwait. With respect to market liquidity, the results showed a significant negative relationship between market liquidity and stock returns in both Jordan and Kuwait. Generally, empirical results showed that the most important variable to explain the cross-section of stock returns is conditional co-variance (conditional beta), whereas the importance of others variables (co-skewness, co-kurtosis, macroeconomic variables and market liquidity) were different from market to other.

HG Finance

Ali, Abubaker Ali

Greenwood, Robert ; Ward, Philippa

University of Gloucestershire

Electronic name

p

[Thesis]

276903

a

Y