Financial shocks and their effect on the difference between the closing price of the Iraqi and Damascus markets for securities: a standard study using the ARCH family) during the period (2/1/2013 - 30/6/2016

Abstract

This study examines the effect of the positive and negative financial shocks on the variation closing prices of the Iraq market and Damascus Securities based on daily closing prices that start from (02.01.2013 - 30.06.2016) data, using asymmetric models (ARCH) and (GARCH ), and models of asymmetric (TGARCH), the study found that the closing prices of both markets has been affected by negative shocks, but the closing prices for the market less vulnerable to Damascus (variation) of negative shocks from the closure of the Iraq market prices. According to the model (TGARCH) show that γ (α + β) was (0.917) of the closing prices in the Iraqi market, in the Damascus market, the (α + β) γ was (0.401).