Title: Macro determinants of stock market volatility: evidence from Middle East region

Authors: Mahmoud Abdelaziz Touny; Mostafa Ahmed Radwan; Mahmoud M. Hussein Alayis

Addresses: Faculty of Applied Studies and Community Service, Imam Abdulrahman Bin Faisal University, P.O. Box 1982, Dammam 31441, Saudi Arabia ' Faculty of Applied Studies and Community Service, Imam Abdulrahman Bin Faisal University, P.O. Box 1982, Dammam 31441, Saudi Arabia ' Faculty of Applied Studies and Community Service, Imam Abdulrahman Bin Faisal University, P.O. Box 1982, Dammam 31441, Saudi Arabia

Abstract: 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.

Keywords: stock market volatility; SMV; corruption; inflation; financial freedom; stock market return; SMR; Thailand.

DOI: 10.1504/AAJFA.2021.115672

Afro-Asian Journal of Finance and Accounting, 2021 Vol.11 No.3, pp.376 - 391

Received: 24 Nov 2019
Accepted: 19 Jun 2020
Published online: 16 Jun 2021 *

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