The impact of U.S. energy policy bills on the GCC stock markets' conditional variance. (c2011)

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dc.contributor.author Haidar, Ranim
dc.date.accessioned 2011-11-29T08:59:19Z
dc.date.available 2011-11-29T08:59:19Z
dc.date.copyright 2011 en_US
dc.date.issued 2011-11-29
dc.date.submitted 2011-05-30
dc.identifier.uri http://hdl.handle.net/10725/1027
dc.description Includes bibliographical references (leaves 33-35). en_US
dc.description.abstract 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. en_US
dc.language.iso en en_US
dc.subject Energy policy -- United States en_US
dc.subject Petroleum industry and trade -- United States en_US
dc.title The impact of U.S. energy policy bills on the GCC stock markets' conditional variance. (c2011) en_US
dc.type Thesis en_US
dc.term.submitted Spring en_US
dc.author.school SOB en_US
dc.author.idnumber 200400646 en_US
dc.author.commembers Walid Marrouch en_US
dc.author.commembers Abdallah Dah en_US
dc.author.woa OA en_US
dc.author.department Master of Bus. Administration en_US
dc.description.physdesc 1 bound copy: ix, 35 leaves; 30 cm. available at RNL. en_US
dc.author.division Management en_US
dc.author.advisor Bernard Ben Sita en_US
dc.keywords GCC Markets en_US
dc.keywords Energy Policy en_US
dc.keywords Volatility en_US
dc.keywords Crude Oil en_US
dc.identifier.doi https://doi.org/10.26756/th.2011.33 en_US
dc.identifier.tou http://libraries.lau.edu.lb/research/laur/terms-of-use/thesis.php en_US

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