Macro determinants of stock market volatility: evidence from Middle East region
Mahmoud Abdelaziz Touny; Mostafa Ahmed Radwan; Mahmoud M. Hussein Alayis
Afro-Asian J. of Finance and Accounting, Vol. 11, No. 3 (2021) pp. 376 - 391
Stock market volatility (SMV) and investor decisions are influenced greatly by macroeconomic and political variables at the global, regional and local levels. By using unbalanced panel data from some Middle East countries over the period from 1996 to 2016, this study aims to provide empirical evidence about the macro determinants of SMV. The results of the feasible generalised least squares (FGLS) model indicate that, on the one hand, inflation, corruption and the stock market capitalisation and turnover ratios have a positive and significant impact on SMV. On the other hand, economic growth, financial freedom and stock market returns seem to have a negative and significant effect on SMV. The outcomes of this study provide some policy implications for Middle East countries' policy makers in managing and relieving volatility in their countries' stock market prices.