Essays on the Saudi Stock Exchange

Dr. Hans-Philipp Otto

doi:10.5771/9783828877658

Summary

The Saudi Stock Exchanges (Tadawul) was, in December 2019, at the center of attention of world finance. The initial public offering (IPO) of the country’s national oil company, Aramco, was the largest in terms of size and company valuation worldwide, making the Tadawul the ninth largest capital market in the world in terms of market capitalization. In preparation for the Aramco IPO, the Tadawul amplified its efforts to enhance its structural and regulatory framework toward international stock exchange standards, to make the Tadawul more attractive to foreign investors. In a broader sense and apart from political and socio-economic aspects, the three essays aim to answer the most critical questions concerning investment decisions in the Tadawul: What is the quality of the financial market? Can active investment strategies outperform the market on a systematic and continuing basis? How oil-dependent is the Saudi economy?

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Bibliographic data

Copyright year: 2022
ISBN-Print: 978-3-8288-4682-1
ISBN-Online: 978-3-8288-7765-8
Publisher: Tectum, Baden-Baden
Language: English
Pages: 144
Product type: Book Titles

Titelei/Inhaltsverzeichnis No access Pages 1 - 14
1. Introduction No access Pages 15 - 18
1. 2.1 Literature review No access
2. 1. 2.2.1 Data No access
  2. 1. 2.2.2.1 Augmented Dickey-Fuller and Phillips-Perron test No access
    2. 2.2.2.2 Durbin-Watson test No access
    3. 2.2.2.3 Autocorrelation function test and Ljung-Box Q test No access
    4. 2.2.2.4 Variance ratio test No access
    5. 2.2.2.5 Pearson product-moment correlation coefficient for serial correlation and Spearman rank correlation No access
    6. 2.2.2.6 Wald-Wolfowitz runs test No access
    7. 2.2.2.7 Runs test via Shannon entropy No access
    8. 2.2.2.8 Rescaled range statistic via Hurst exponent and Lo modified No access
3. 2.3 Results No access
4. 2.4 Conclusion No access
1. 3.1 Literature review No access
2. 1. 3.2.1 Data No access
  2. 1. 1. 3.2.2.1.1 Minimum variance optimization No access
      2. 3.2.2.1.2 Sharpe ratio optimization No access
      3. 3.2.2.1.3 Bayes-Stein optimization No access
      4. 3.2.2.1.4 Ledoit-Wolf optimization No access
      5. 3.2.2.1.5 Rebalanced equally weighted portfolio No access
      6. 3.2.2.1.6 Equal-risk-contribution portfolio No access
      7. 3.2.2.1.7 Most diversified portfolio No access
      8. 3.2.2.1.8 Inverse volatility portfolio No access
      9. 3.2.2.1.9 Diversified-risk-parity portfolio No access
    2. 1. 3.2.2.2.1 Mean return No access
      2. 3.2.2.2.2 Variance No access
      3. 3.2.2.2.3 Sharpe ratio No access
      4. 3.2.2.2.4 Value at risk No access
      5. 3.2.2.2.5 Certainty equivalent return No access
      6. 3.2.2.2.6 Diversification ratio No access
      7. 3.2.2.2.7 Turnover No access
3. 3.3 Results No access
4. 3.4 Conclusion No access
1. 4.1 Literature review No access
2. 1. 4.2.1 Data No access
  2. 1. 4.2.2.1 Correlation No access
    2. 4.2.2.2 Cointegration No access
3. 4.3 Results No access
4. 4.4 Conclusion No access
5. Concluding remarks No access Pages 125 - 128
References No access Pages 129 - 144