khazzartech الاقتصاد الصناعي
Volume 14, Numéro 2, Pages 120-144
2024-12-21
Asset Pricing Movements Shaped By Investors’ Behaviour A Dcc-garch Perspective On Saudi Arabia's Tasi Index
Authors : Meliani Yassine . Djediden Lahcene .
Abstract
The study used a DCC-GARCH model to investigate the conditional association between the sentiment indexes and the TASI returns using weekly data from January 7, 2010, to August 1, 2024. The empirical analysis indicates that investor sentiment has a significant impact on the TASI index, with both positive and negative attitudes showing a strong correlation with changes in the market. The results also show how changes in oil and exchange rates have a knock-on effect on investor sentiment. The study provides valuable insights into the role investor attitude plays in asset pricing in the Saudi Arabian environment, particularly when accounting for external factors such as economic conditions and geopolitical threats.
Keywords
Investors’ behaviour ; Investors’ sentiment ; Conditional correlation ; Financial market
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