Correspondence: Nidal Rashid Sabri, College of Economics, Birzeit University, Palestine. Fax: 972 2982963; E-mail: nsabri@birzeit.edu; Web: http://home.birzeit.edu/commerce/sabri

¹Nidal Rashid Sabri is a professor and dean of the College of Economics at Birzeit University, Palestine and received his doctoral degree from the University of Northern Colorado, USA. He served as a consultant on several missions with UN-ESCWA, UNDP, UNIDO, UNCTAD, UN-HABITAT, and ILO. He also served as a research scholar at the IMF. He published papers in various academic journals including Research in International Business and Finance, Advances in Financial Economics, International Journal of Business, Review of Accounting and Finance, Journal of Multinational Financial Management, International Journal of Commerce and Management, International Management, Small Business Economics, Finance India, Journal of International Accounting, Auditing and Taxation, Transforming Government Journal, Middle East Business Review, and Management Accountant. He is the author of about 20 books including Stability of International Stock Markets (Nova Science Publishers, New York, 2007) and Financial Markets and Institutions in the Arab Economy (Nova Science Publishers, New York, 2008). He also served as an editor for the volume International Financial Systems and Stock Volatility (Elsevier Science Publisher, 2002).

Received 15 February 2008; Revised 15 February 2008.

Abstract

This study intends to examine the price–volume movements in the Arab stock markets, in order to determine the impact of changes in trade volume on the volatility of stock prices as expressed by the unified AMF stock price index. The research covers a sample of eight out of the 15 Arab stock markets included in the Arab Monetary Fund database, using monthly data from 1994 to 2006. The study found that there is an increase in both trading volume and stock price volatility, which may be considered a recent phenomenon in the majority of the Arab stock markets. The study also found that the volume–stock price movements are significantly integrated for all selected markets, while the highest (to lowest) correlation coefficient between volume and stock price movement was found in the Saudi stock market, Amman stock market, Muscat stock market, and Kuwait stock market (in that order). Finally, the correlation between volume and price movement is higher in the stock markets of the oil Arab states compared to the nonoil Arab states.