The Impact of Trading Volume on Stock Price Volatility in the Arab Economy

11 Pages Posted: 26 Feb 2008

Date Written: June 2008

Abstract

This study intends to examine the price-volume movements in the Arab stock markets, in order to determine the impact of changes in trade volume on the volatility of stock prices as expressed by the unified MAF stock price index. The research covers a sample of eight out of the fifteen Arab stock markets included in the Arab Monetary Fund database, using monthly data from 1994 to 2006. The study found that there is an increasing in both trading volume and stock price volatility, which may be considered as a recent phenomenon in the majority of the Arab stock markets. The study also found that the volume-stock price movements are significantly integrated for all selected markets, while the highest correlation coefficient between volume and stock price movement was found in Saudi stock market, Amman stock market, Muscat stock market and Kuwait stock market respectively. Finally, the correlation between volume and prices movement is higher in the stock markets of the oil Arab states compared to the non-oil Arab states.

Keywords: Arab stock markets, stock price volatility, trading volume volatility

JEL Classification: G1, G14, G15, G35, N2

Suggested Citation

Sabri, Nidal Rashid, The Impact of Trading Volume on Stock Price Volatility in the Arab Economy (June 2008). Available at SSRN: https://ssrn.com/abstract=1097624 or http://dx.doi.org/10.2139/ssrn.1097624

Nidal Rashid Sabri (Contact Author)

Birzeit University ( email )

Birzeit, West Bank
Palestine
972 2 2810396 (Phone)
972 2 2982963 (Fax)

HOME PAGE: http://home.birzeit.edu/commerce/sabri

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