Do Macro Fundamentals Explain Stock Market Returns Risks in Qatar

Abstract

This paper studies stock market risk determinants in Qatar by examining the alarming nature of stock market risks that could exist when stock market returns are explained by bank credits with the absence of fundamentals such as attractive investment returns on stocks and strong macroeconomic performance. Using the monthly data over the period 1999‐2004, the results of VAR and Granger causality techniques suggest that bank credits did not significantly affect stock market returns during the study period; however, although the results indicate that variable net investment returns explain Qatar’s stock market returns, the macro economy performance indicated by variable oil revenues does not give direct explanation for it.

Citation

Shams Mohamed, K. (2006), "Do Macro Fundamentals Explain Stock Market Returns Risks in Qatar", Journal of Economic and Administrative Sciences, Vol. 22 No. 2, pp. 1-16. https://doi.org/10.1108/10264116200600005