Forecasting Value at Risk in Emerging Arab Stock Markets

The economic and political instability of most of the Arab countries may lead to the assumption that Arab stock markets are riskier and less predictable than stock markets in developed countries. Value at Risk (VaR) measures risk exposure at a given probability level and is very important for risk management. In this paper extreme value theory with volatility updating is used to forecast Value at Risk in three emerging Arab stock markets and the US stock market. Several forecast accuracy criteria are used to compare forecast performance in the four stock markets, including a suggested asymmetric forecast criterion. The various criteria used in this paper suggest that Arab stock markets are less risky than the US stock market.Value-at-Risk, Extreme Events, Hill Estimator, Volatility Updating.

The Practice of Zakat: An Empirical Examination of Four Gulf Countries

As one of the cornerstones of Islamic economics, zakat has been given little attention in Islamic economics literature. Both theoretical and empirical studies are scarce, and thus this paper is an attempt to initiate discussion on the realities of the practice of zakat in the Muslim world. It is hoped that this will draw attention to the need to investigate the practice of zakat throughout the world. Some empirical results on a number of practical aspects of zakat are provided. The discussion is based on a collection of perception data from respondents in four Gulf Cooperation Council (GCC) countries regarding the evaluation, collection and payment of zakat.Zakat; Fiqh; Gulf Cooperation Council, Shari‘a.

National innovation and knowledge performance: The role of higher education teaching and training

This paper acknowledges the role of the higher education system (HES) in the production of knowledge and human capital. However, most of the literature attributes this production to the second (research activities) and third (exploitation of teaching and research activities) mission. This paper proposes to investigate the under explored role of the first mission (teaching) of HES in the production of national innovation

Economic and time series analysis of electricity consumption in Algeria

In 2 volsAvailable from British Library Document Supply Centre- DSC:DX97101 / BLDSC - British Library Document Supply CentreSIGLEGBUnited Kingdo

Estimation of Technical Inefficiency Effects Using Panel Data and Doubly Heteroscedastic Stochastic Production Frontiers

In previous studies, measures of technical inefficiency effects derived from stochastic production frontiers have been estimated from residuals which are sensitive to specification errors. This study corrects for this inaccuracy by extending the doubly heteroscedastic stochastic cost frontier suggested by Hadri (1999) to the model for technical inefficiency effects. This model is a stochastic frontier production function for panel data as proposed by Battese and Coelli (1995). The study uses, for illustration of the techniques, data on 101 mainly cereal farms in England. We find that the correction for heteroscedasticity is supported by the data. Both point estimates and confidence intervals for technical efficiencies are provided. The confidence intervals are constructed by extending the "Battese-Coelli" method reported by Horrace and Schmidt (1996) by allowing the technical inefficiency to be time varying and the disturbance terms to be heteroscedastic. The confidence intervals reveal the precision of technical efficiency estimates and show the deficiencies of making inferences based exclusively on point estimates

A net beta test of asset pricing models

While many recent empirical studies of the CAPM have used conditional beta tests, this technique has recently been shown to have several weaknesses. Here we introduce a new, more robust, net beta test which shares a number of characteristics with conditional beta tests. The method is extended to the multi-factor case when there are mimicking portfolios of assets for the underlying factors, including the Fama-French three-factor model. We demonstrate theoretically, by simulation and using market data that the net beta estimators have lower standard errors than those generated by the standard Fama-MacBeth test.Factor models Capital asset pricing Conditional beta tests

Motives for foreign direct investment in Oman

This paper empirically examines the factors that influence foreign investors to engage in foreign direct investment (FDI) in Oman. One hundred and six foreign equity ventures participated in the study. The analysis of the data reveals that political and economic stability are the two most important motives for investing in Oman. Contrary to expectations, purchasing power of customers, market size, and availability of low-cost inputs are the least desirable factors, respectively. The statistical analysis indicates that all motives do not equally appeal to all foreign investors from different countries

Robust conditional variance estimation and value at risk

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.88722(01/06) / BLDSC - British Library Document Supply CentreGBUnited Kingdo