Abstract- Research studies proved that share prices keep on changing every day in the stock markets. Hence this particular research article is very relevant to analyse the Volatility of Muscat Securities Market over a specified period. Here, six Oil and Gas companies were selected for this research article. The study aimed at analysing the stock market volatility of Regular market players and Parallel market players of Muscat Oil and Gas companies and evaluating their relationship.This research article used GARCH model for measuring the volatility of Muscat Securities Market with special reference to Oil and Gas companies listed in the MSM. The study resulted that highest volatile companies are Shell Oman Marketing from regular market and Oman Oil Market from parallel market. Study also found that National Gas and Shell Oman Marketing companies has the probability of producing positive return and Almaha Petroleum Products Mar. Study also found that positive shock has higher level of impact on conditional variance while connected with negative shock. From the Parallel market it is found that Muscat Gases has the probability of positive return in future. Based on the descriptive result it is found that there are two companies i.e., National Gas and Shell Oman Marketing were expecting positive return in future. Therefore, investors can focus to these companies while they enter into the Muscat stock market, Study found that there is no significant price variation between the three regular market companies. Keywords : Volatility, Muscat Securities Market, Oil and Gas companies, Stock Volatility, stock market,GARCH model, E-GARCH model
Abstract- Research studies proved that share prices keep on changing every day in the stock markets. Hence this particular research article is very relevant to analyse the Volatility of Muscat Securities Market over a specified period. Here, six Oil and Gas companies were selected for this research ...