The impact of U.S. energy policy bills on the GCC stock markets' conditional variance. (c2011)
Includes bibliographical references (leaves 33-35).
محفوظ في:
| المؤلف الرئيسي: | |
|---|---|
| التنسيق: | masterThesis |
| منشور في: |
2011
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| الموضوعات: | |
| الوصول للمادة أونلاين: | http://hdl.handle.net/10725/1027 https://doi.org/10.26756/th.2011.33 http://libraries.lau.edu.lb/research/laur/terms-of-use/thesis.php |
| الوسوم: |
إضافة وسم
لا توجد وسوم, كن أول من يضع وسما على هذه التسجيلة!
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| _version_ | 1864513455733604352 |
|---|---|
| author | Haidar, Ranim |
| author_facet | Haidar, Ranim |
| author_role | author |
| dc.creator.none.fl_str_mv | Haidar, Ranim |
| dc.date.none.fl_str_mv | 2011-11-29T08:59:19Z 2011-11-29T08:59:19Z 2011 2011-11-29 2011-05-30 |
| dc.identifier.none.fl_str_mv | http://hdl.handle.net/10725/1027 https://doi.org/10.26756/th.2011.33 http://libraries.lau.edu.lb/research/laur/terms-of-use/thesis.php |
| dc.language.none.fl_str_mv | en |
| dc.rights.*.fl_str_mv | info:eu-repo/semantics/openAccess |
| dc.subject.none.fl_str_mv | Energy policy -- United States Petroleum industry and trade -- United States |
| dc.title.none.fl_str_mv | The impact of U.S. energy policy bills on the GCC stock markets' conditional variance. (c2011) |
| dc.type.none.fl_str_mv | Thesis info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/masterThesis |
| description | Includes bibliographical references (leaves 33-35). |
| eu_rights_str_mv | openAccess |
| format | masterThesis |
| id | LAURepo_dcb3bd7efd387204b69cb44645bdaf1c |
| language_invalid_str_mv | en |
| network_acronym_str | LAURepo |
| network_name_str | Lebanese American University repository |
| oai_identifier_str | oai:laur.lau.edu.lb:10725/1027 |
| publishDate | 2011 |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | The impact of U.S. energy policy bills on the GCC stock markets' conditional variance. (c2011)Haidar, RanimEnergy policy -- United StatesPetroleum industry and trade -- United StatesIncludes bibliographical references (leaves 33-35).This thesis investigates the impacts that bills on energy policy, introduced and discussed in the US Congress, have on the variance process of the five largest Gulf Cooperation Council stock markets. Since the US is the largest consumer of crude oil in the world and the GCC region is one of the most influential suppliers of crude oil, we investigate the hypothesis whether public news on US energy policy bills has a reversal impact on the GCC stock markets’ conditional variance. Augmenting the Asymmetric Generalized Autoregressive Conditional Heteroskedasticity (AGARCH) model of Glosten et al. (1993) with indicators determined in terms of the dates when the US energy policy bills are introduced, we find that the conditional variance of the GCC markets tends to revert on days when the bills are introduced and discussed in the US Congress. This finding is consistent with the learning hypothesis in the financial economics literature. Furthermore, examining the robustness of our finding within the AGARCH model to endogenous effects, we find that the variance responses of the GCC markets to public news on the dates of bills are not solely driven by market specific effects.1 bound copy: ix, 35 leaves; 30 cm. available at RNL.2011-11-29T08:59:19Z2011-11-29T08:59:19Z20112011-11-292011-05-30Thesisinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesishttp://hdl.handle.net/10725/1027https://doi.org/10.26756/th.2011.33http://libraries.lau.edu.lb/research/laur/terms-of-use/thesis.phpeninfo:eu-repo/semantics/openAccessoai:laur.lau.edu.lb:10725/10272021-01-21T10:28:53Z |
| spellingShingle | The impact of U.S. energy policy bills on the GCC stock markets' conditional variance. (c2011) Haidar, Ranim Energy policy -- United States Petroleum industry and trade -- United States |
| status_str | publishedVersion |
| title | The impact of U.S. energy policy bills on the GCC stock markets' conditional variance. (c2011) |
| title_full | The impact of U.S. energy policy bills on the GCC stock markets' conditional variance. (c2011) |
| title_fullStr | The impact of U.S. energy policy bills on the GCC stock markets' conditional variance. (c2011) |
| title_full_unstemmed | The impact of U.S. energy policy bills on the GCC stock markets' conditional variance. (c2011) |
| title_short | The impact of U.S. energy policy bills on the GCC stock markets' conditional variance. (c2011) |
| title_sort | The impact of U.S. energy policy bills on the GCC stock markets' conditional variance. (c2011) |
| topic | Energy policy -- United States Petroleum industry and trade -- United States |
| url | http://hdl.handle.net/10725/1027 https://doi.org/10.26756/th.2011.33 http://libraries.lau.edu.lb/research/laur/terms-of-use/thesis.php |