Talla M. Al-Deehani

Volatility Spillover in Regional Emerging Stock Markets: A Structural Time-Series Approach

Volatility spillovers among the stock markets of Bahrain, Kuwait, and Saudi Arabia are investigated using the concept of stochastic volatility and structural time-series modeling. The results reveal volatility spillovers, in which the Kuwait market plays the major role. It is also found that volatility in one market cannot be explained fully in terms of volatility in the other two markets, but that, out of the three markets, the Kuwait market seems to be the most influential. Some explanations are put forward for why this is the case.

Mathematical models and a tabu search for the portfolio management problem in the Kuwait stock exchange

This article proposes two mathematical models to study and compare results of two cases of the portfolio selection problem in the Kuwait stock exchange (KSE) as an emerging market. The mathematical models attempt to balance the trade off between risk and return. Model-I maximises the expected return and maintains the risk to certain limits while Model-II minimises the portfolio correlation and constrains the expected return to a minimum acceptable level. Since, both models are turned out to be non-linear, a tailored tabu search algorithm is used to provide efficient solutions with reasonable amount of computational times. After testing the models using real data from KSE, the results indicated that Model-I is able to significantly beat the market using both quarterly and annual basis strategies.

Determinants of Dividend Policy: The Case of Kuwait

Ever since the work of John Lintner (1956), followed by the work of Miller and Modigliani (1961), dividend policy remains a controversial issue. Some of the questions that remain unanswered include: Does dividend policy affect value? What are the factors that determine dividend policy? Is dividend policy determined dependently or independently? A comprehensive survey project on dividend policy in Kuwait was conducted and two papers were produced. The first paper focused on the relationship of dividend policy to investment and financing policies, see Al‐ Deehani and Al‐Loughani (2002). This paper is a part of that project. It presents empirical effort to the area of dividend policy determinants in Kuwait as an emerging market. Based upon a result of a questionnaire survey, the paper will highlight (1) top management’s perception of value‐relevant and value‐irrelevant determinants of dividend policy, and (2) determine whether managers in different industries share similar views about these determinants. The paper is organized in the following manner: first the determinants of dividend policy are discussed through a review of the relevant literature. This is followed by the research methods stating the issues of concern to this study. The remainder of the paper discusses the results through the analysis of managers’ perceptions of determinants and a cross‐sectional analysis. The paper ends with a summary and the conclusions drawn from the study.