US Volatility at its peak, GCC quite soft reports Markaz

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US Volatility at its peak, GCC quite soft reports Markaz 17 - Dec - 2007

The GCC volatility levels which had edged up during last month witnessed a minor retraction during November 2007. However, the emerging markets continue to witness an increase in volatility. The volatility levels on S&P 500 spiked up during the current month and is at its historic high. The Markaz Volatility Index for the month of November 2007 points out to the low levels of volatility in the GCC region. The volatility measured on the MSCI GCC index was the lowest during the month ending November 2007 among the comparable universe. The GCC volatility has been witnessing a directionally declining trend in volatility since peaking out in May 2006. However the volatility levels in Emerging markets and the S&P 500 increased significantly. MVX S&P 500 posted new peak during the month of November. This led to a 76% rise in volatility on a monthly basis. This has been the highest increase in volatility amongst the comparable universe in the month of November. Currently, S&P 500 volatility is 50% higher to its 120 day Moving Average (MVA). Similarly, Emerging markets too continue to witness high levels of volatility. Even though the increase in EM volatility was lower at 14%, the Markaz volatility index continues to be at a level of 17% more than its 120 Day moving average. GCC on the other hand has witnessed reduced volatility scenario. Kuwait and Dubai witnessed a minor increase in volatility by 9% and 7% respectively. However, Bahrain witnessed a significant 92% increase in volatility levels on a monthly basis. Currently, the Bahrain volatility index is trading at 55% over the 120 day moving average. Oman witnessed the highest drop of 41% in volatility levels in the GCC region in the month of November. Oman volatility is currently at a 13% discount to the 120 Day moving average, which is contrasting to a premium of 56% as at the end of October. Qatar witnessed the second highest drop of 22% in volatility levels in the GCC region. The decline comes on the back of consecutive rise in volatility levels for two months till October. Saudi Arabia witnessed a marginal decline in volatility levels. The China volatility continues to witness an increasing trend. During October the volatility levels in China increased by 32% and in November the volatility levels increased by 12% and the Shanghai Index fell by 18%. Volatility is a risk measure used to gauge the degree of fear that prevails in stock markets at any point in time. It can be measured through many ways using advanced application of statistical tools. From a stock market perspective, higher volatility is viewed riskier compared to lower volatility. Much like returns, volatility also has a “wave-like” pattern alternating between highs and lows. Higher levels would indicate investor fear while lower levels would indicate complacency. It will certainly be useful to know if GCC investors are being gripped by fear or complacency at any point of time. It is an emotional gauge. The MVX, (code name for Markaz Volatility Index) launched by Kuwait Financial Center (Markaz) is a measure of stock market volatility in the emerging market and GCC region. The index has a base date of 1st January 2004. “Markaz” has developed a proprietary model to construct and maintain the index. The model considers many statistical properties of the underlying GCC stock markets in order to calculate the volatility index. ### About Markaz Kuwait Financial Centre 'Markaz', with total assets under management of over KD 1.40 billion as of June 30, 2007, was established in 1974 has become one of the leading asset management and investment banking institutions in the Arabian Gulf Region. Markaz was listed on the Kuwait Stock Exchange (KSE) in 1997; and was recently awarded a BBB+ corporate rating by Capital Intelligence Ltd.The GCC volatility levels which had edged up during last month witnessed a minor retraction during November 2007. However, the emerging markets continue to witness an increase in volatility. The volatility levels on S&P 500 spiked up during the current month and is at its historic high. The Markaz Volatility Index for the month of November 2007 points out to the low levels of volatility in the GCC region. The volatility measured on the MSCI GCC index was the lowest during the month ending November 2007 among the comparable universe. The GCC volatility has been witnessing a directionally declining trend in volatility since peaking out in May 2006. However the volatility levels in Emerging markets and the S&P 500 increased significantly. MVX S&P 500 posted new peak during the month of November. This led to a 76% rise in volatility on a monthly basis. This has been the highest increase in volatility amongst the comparable universe in the month of November. Currently, S&P 500 volatility is 50% higher to its 120 day Moving Average (MVA). Similarly, Emerging markets too continue to witness high levels of volatility. Even though the increase in EM volatility was lower at 14%, the Markaz volatility index continues to be at a level of 17% more than its 120 Day moving average. GCC on the other hand has witnessed reduced volatility scenario. Kuwait and Dubai witnessed a minor increase in volatility by 9% and 7% respectively. However, Bahrain witnessed a significant 92% increase in volatility levels on a monthly basis. Currently, the Bahrain volatility index is trading at 55% over the 120 day moving average. Oman witnessed the highest drop of 41% in volatility levels in the GCC region in the month of November. Oman volatility is currently at a 13% discount to the 120 Day moving average, which is contrasting to a premium of 56% as at the end of October. Qatar witnessed the second highest drop of 22% in volatility levels in the GCC region. The decline comes on the back of consecutive rise in volatility levels for two months till October. Saudi Arabia witnessed a marginal decline in volatility levels. The China volatility continues to witness an increasing trend. During October the volatility levels in China increased by 32% and in November the volatility levels increased by 12% and the Shanghai Index fell by 18%. Volatility is a risk measure used to gauge the degree of fear that prevails in stock markets at any point in time. It can be measured through many ways using advanced application of statistical tools. From a stock market perspective, higher volatility is viewed riskier compared to lower volatility. Much like returns, volatility also has a “wave-like” pattern alternating between highs and lows. Higher levels would indicate investor fear while lower levels would indicate complacency. It will certainly be useful to know if GCC investors are being gripped by fear or complacency at any point of time. It is an emotional gauge. The MVX, (code name for Markaz Volatility Index) launched by Kuwait Financial Center (Markaz) is a measure of stock market volatility in the emerging market and GCC region. The index has a base date of 1st January 2004. “Markaz” has developed a proprietary model to construct and maintain the index. The model considers many statistical properties of the underlying GCC stock markets in order to calculate the volatility index. ### About Markaz Kuwait Financial Centre 'Markaz', with total assets under management of over KD 1.40 billion as of June 30, 2007, was established in 1974 has become one of the leading asset management and investment banking institutions in the Arabian Gulf Region. Markaz was listed on the Kuwait Stock Exchange (KSE) in 1997; and was recently awarded a BBB+ corporate rating by Capital Intelligence Ltd.