Research Information System
TURK FINANCE AND ECONOMICS RESEARCH, vol.1, no.1, pp.45-80, 2021 (Peer-Reviewed Journal)
This paper empirically examines the relationship between stock prices and volumes for the
selected Middle Eastern and North African countries (Bahrain, Dubai, Egypt, Israel, Jordan,
Kuwait, Lebanon, Oman, Qatar, and Saudi Arabia). We employ Markov Regime Switching
Vector Autoregressive Model (MSVAR) to analyze the relationship in bearish and bullish
conditions. We use daily data and different periods for each stock market depending on the
availability of data for the period 01/01/2016 to 21/11/2019. Our main results from Markov
switching models indicate that the stock indices do not respond to any shock applied to volume
for any country in any regime as a recession, moderate growth, or expansion. The responses of
volume to the shocks applied to the index (price) are positive for all regimes for the 4 countries,
but the responses vary according to the regime for the others in the terms of the way of the
direction as positive or negative.