Date of Award

Spring 5-2019

Degree Type

Dissertation

Degree Name

Ph.D.

Degree Program

Financial Economics

Department

Business Administration

Major Professor

Mohammad K Hassan

Second Advisor

James Ronnie Davis

Third Advisor

Arja H Turunen-Red

Fourth Advisor

Duygu Zirek

Abstract

The dissertation consists of two essays. In the first essay, we investigate the relation of government ownership to the idiosyncratic volatility of Saudi Arabian firms that traded in the Saudi stock exchange between 2010 and 2016. The results show that publicly traded firms with an increase in government ownership have less idiosyncratic volatility. Furthermore, we investigate market leverage ratio, dividend payout ratio, and illiquidity ratio as potential roles in which government ownership influences the idiosyncratic volatility. The results prove the negative relationship between government ownership and idiosyncratic volatility. In the second essay, we investigate the association between government ownership and momentum trading of firms traded in the Saudi stock exchange between 2010 and 2016. The results show that firms with higher state ownership are expected to have greater price momentum. We used two approaches: the portfolio sorting approach and the fixed effect approach, and these two approaches confirm the positive relationship between government ownership and momentum.

Rights

The University of New Orleans and its agents retain the non-exclusive license to archive and make accessible this dissertation or thesis in whole or in part in all forms of media, now or hereafter known. The author retains all other ownership rights to the copyright of the thesis or dissertation.

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