Estimating the risk-return tradeoff in MENA Stock Markets


Salim Lahmiri


This study employs the generalized autoregressive conditionally heteroskedastic in the mean (GARCH-M) methodology to investigate the return generating process of Jordan, Kingdom of Saudi Arabia (KSA), Kuwait, and Morocco stock market indices. The tradeoff between returns and the conditional variance is found to be positive in all markets. In other words, the empirical findings show that investors are rewarded for their exposure to more risk in these financial markets. This result is consistent with both financial theory and empirical finance.


DOI: j.dsl.2013.01.001

Keywords: MENA Stock Markets ,GARCH-M ,Econometrics

How to cite this paper:

Lahmiri, S. (2013). Estimating the risk-return tradeoff in MENA Stock Markets.Decision Science Letters, 2(2), 119-124.


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