Volatility Persistence in Palestine Exchange Bulls and Bears: An Econometric Analysis of Time Series Data

Date
2016-11-21
Authors
Awad, Ibrahim M.
Al-Ewesat, Abdel-Rahman
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Abstract
This study aims at investigating volatility persistent in Palestine Exchange (PEX) bulls and bears. It also attempts to explore whether or not stock market volatility present a different behavior during PEX bulls and bears, which is likely to provide investors with a background information for more feasible investment in the PEX. Toward that end, the study employs Rescaled Range (R/S) to calculate the values of difference to find evidence of long memory behavior for the daily data observations from August, 1997 to December, 2014. The study finds that volatility isn’t persistent in the PEX bear markets. Co-integration results show that there is an existence of co-integration, which indicates a long run equilibrium association between PEX bull and bear markets. The ECM results reveal that the speed of adjustment toward long run equilibrium is very low for PEX bull markets while the speed of adjustment toward long run equilibrium is unlikely to be attained for PEX bear markets. Further, the PEX bears markets are longer than PEX bulls markets, so that prudent investors should take volatility in PEX bulls and bears into account.
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Keywords
PEX bulls and bears, Persistence, Moving average, Long memory
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